The Resource Simulation-based econometric methods, Christian Gouriéroux and Alain Monfort

Simulation-based econometric methods, Christian Gouriéroux and Alain Monfort

Label
Simulation-based econometric methods
Title
Simulation-based econometric methods
Statement of responsibility
Christian Gouriéroux and Alain Monfort
Creator
Contributor
Subject
Language
eng
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
Member of
Cataloging source
DLC
http://library.link/vocab/creatorDate
1949-
http://library.link/vocab/creatorName
Gourieroux, Christian
Illustrations
illustrations
Index
index present
LC call number
HB141
LC item number
.G68 1996
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1943-
http://library.link/vocab/relatedWorkOrContributorName
Monfort, Alain
http://library.link/vocab/subjectName
  • Econometric models
  • Modèles économétriques
  • Econometric models
  • Econometrische modellen
  • Estatistica aplicada a economia
  • Simulation, Méthodes de
  • Modèles économétriques
Label
Simulation-based econometric methods, Christian Gouriéroux and Alain Monfort
Instantiates
Publication
Bibliography note
Includes bibliographical references (p. [159]-171) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
1. Introduction and Motivations -- 2. The Method of Simulated Moments (MSM) -- 3. Simulated Maximum Likelihood, Pseudo-Maximum Likelihood, and Nonlinear Least Squares Methods -- 4. Indirect Inference -- 5. Applications to Limited Dependent Variable Models -- 6. Applications to Financial Series -- 7. Applications to Switching Regime Models
Dimensions
24 cm.
Extent
x, 174 pages
Isbn
9780198774754
Isbn Type
(acid-free paper)
Lccn
96018570
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
System control number
  • (OCoLC)34658718
  • (OCoLC)ocm34658718
Label
Simulation-based econometric methods, Christian Gouriéroux and Alain Monfort
Publication
Bibliography note
Includes bibliographical references (p. [159]-171) and index
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
1. Introduction and Motivations -- 2. The Method of Simulated Moments (MSM) -- 3. Simulated Maximum Likelihood, Pseudo-Maximum Likelihood, and Nonlinear Least Squares Methods -- 4. Indirect Inference -- 5. Applications to Limited Dependent Variable Models -- 6. Applications to Financial Series -- 7. Applications to Switching Regime Models
Dimensions
24 cm.
Extent
x, 174 pages
Isbn
9780198774754
Isbn Type
(acid-free paper)
Lccn
96018570
Media category
unmediated
Media MARC source
rdamedia
Media type code
n
Other physical details
illustrations
System control number
  • (OCoLC)34658718
  • (OCoLC)ocm34658718

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