Simulation-based Inference in Econometrics: Methods and Applications

by Edited by Roberto Mariano , Til Schuermann , Melvyn J. Weeks

• ISBN13: 9780521088022
• ISBN10: 052108802X
• Format: Paperback
• Copyright: 2008-12-11
• Publisher: Cambridge University Press

Summary

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.

Table of Contents

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

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