| Description |
1 online resource (x, 174 pages) : illustrations |
| Series |
CORE lectures |
|
CORE lectures.
|
| Contents |
Introduction and motivations -- The method of simulated moments (MSM) -- Simulated maximum likelihood, pseudo-maximum likelihood and nonlinear least squares methods -- Indirect inference -- Applications to limited dependent variable models -- Applications to financial series -- Applications to switching regime models |
| Summary |
Simulation-Based Econometric Methods introduces a new generation of econometric methods in the classical domain. After linear models leading to analytical expressions for estimators and non-linear models using numerical optimization algorithms, the availability of high-speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented, for instance, by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Print version record |
| Subject |
Econometric models.
|
|
BUSINESS & ECONOMICS -- Econometrics.
|
|
BUSINESS & ECONOMICS -- Statistics.
|
|
Econometric models
|
|
Econometrische modellen.
|
|
Estatistica aplicada a economia.
|
| Form |
Electronic book
|
| Author |
Monfort, Alain, 1943-
|
| ISBN |
9780198774754 |
|
0198774753 |
|
9780191596339 |
|
0191596337 |
|
1281978396 |
|
9781281978394 |
|
