Simulation-based Inference in Econometrics:

This substantial volume has two principal objectives. First it provides an overview of the statistical foundations of Simulation-based inference. This includes the summary and synthesis of the many concepts and results extant in the theoretical literature, the different classes of problems and estimators, the asymptotic properties of these estimators, as well as descriptions of the different simulators in use. Second, the volume provides empirical and operational examples of SBI methods. Often what is missing, even in existing applied papers, are operational issues. Which simulator works best for which problem and why? This volume will explicitly address the important numerical and computational issues in SBI which are not covered comprehensively in the existing literature. Examples of such issues are: comparisons with existing tractable methods, number of replications needed for robust results, choice of instruments, simulation noise and bias as well as efficiency loss in practice.

Simulation-Based Inference in Econometrics, Methods and Applications: Introduction Melvyn Weeks
Simulation-based inference in econometrics: motivation and methods
Microeconometric Methods: Introduction Melvyn Weeks
Accelerated Monte Carlo integration: an application to dynamic latent variable models
Some practical issues in maximum simulated likelihood Vassillis
Bayesian inference for dynamic discrete choice models without the need for dynamic programming
Bayesian analysis of the multinomial probit model
Time Series Methods and Models: Introduction Til Schuermann
Simulated moment methods for empirical equivalent martingale measures Bent
Exact maximum likelihood estimation of observation-driven econometric models
Simulation-based inference in non-linear state space models: application to testing the permanent income hypothesis
Simulation-based estimation of some factor models in econometrics
Simulation-based Bayesian inference for economic time series
Other Areas of Application and Technical Issues: Introduction
A comparison of computational methods for hierarchical methods in customer survey questionnaire data
Calibration by simulation for small sample bias correction Christian Gourieroux
Simulation-based estimation of a nonlinear, latent factor aggregate production function Lee Ohanian
Testing calibrated general equilibrium models
Simulation variance reduction for bootstrapping
Index
Table of Contents provided by Publisher. All Rights Reserved.

What is included with this book?

The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

The Used, Rental and eBook copies of this book are not guaranteed to include any supplemental materials. Typically, only the book itself is included. This is true even if the title states it includes any access cards, study guides, lab manuals, CDs, etc.

FREE SHIPPING

Rent More, Save More! Use code: BBRENTAL

5% off 1 book, 7% off 2 books, 10% off 3+ books

Simulation-based Inference in Econometrics: Methods and Applications

Summary

Table of Contents

Supplemental Materials