Gouriéroux, Christian
Simulation-based Econometric Methods [ electronic resource ] / by Christian Gouriéroux and Alain Monfort. - Oxford Scholarship Online , 2003
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.
9780198774754 ( e-book )
Economics
Electronic books
Simulation-based Econometric Methods [ electronic resource ] / by Christian Gouriéroux and Alain Monfort. - Oxford Scholarship Online , 2003
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.
9780198774754 ( e-book )
Economics
Electronic books
