Simulation-based Econometric Methods
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ID: 296900
1997
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Abstract
Abstract This book deals with a new generation of econometric methods leading to criterion functions without simple analytical expression. The difficulty often comes from the presence of integrals of large dimension in the probability density function or in the moments, and the idea is to circumvent this numerical difficulty by an approach based on simulation. The main methods considered are the methods of Simulated Moments, Simulated Maximum Likelihood, Simulated Pseudo‐Maximum Likelihood, Simulated Non‐Linear Least Squares, and Indirect Inference. These methods are applied to Limited Dependent Variables Models, to Financial Series, and to Switching Regime Models.
| Reference Key |
openalex_W1538160166
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|---|---|
| Authors | Christian Gouriéroux, Alain Monfort |
| Journal | Oxford University Press eBooks |
| Year | 1997 |
| DOI |
10.1093/0198774753.001.0001
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| URL | |
| Keywords | Keywords not found |
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