Simulation based econometric methods:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Oxford
Oxford Univ. Press
2002
|
| Ausgabe: | Reprinted |
| Schriftenreihe: | CORE lectures
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 174 S. graph. Darst. |
| ISBN: | 9780198774754 0198774753 |
Internformat
MARC
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| 100 | 1 | |a Gourieroux, Christian |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Simulation based econometric methods |c Christian Gouriéroux and Alain Monfort |
| 250 | |a Reprinted | ||
| 264 | 1 | |a Oxford |b Oxford Univ. Press |c 2002 | |
| 300 | |a X, 174 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a CORE lectures | |
| 650 | 4 | |a Ökonometrisches Modell - Simulation | |
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| 650 | 0 | 7 | |a Statistik |0 (DE-588)4056995-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Ökonometrisches Modell |0 (DE-588)4043212-9 |2 gnd |9 rswk-swf |
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| 689 | 1 | 1 | |a Statistik |0 (DE-588)4056995-0 |D s |
| 689 | 1 | |8 1\p |5 DE-604 | |
| 700 | 1 | |a Monfort, Alain |e Verfasser |4 aut | |
| 856 | 4 | 2 | |m Digitalisierung UB Bayreuth |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009990869&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-009990869 | ||
| 883 | 1 | |8 1\p |a cgwrk |d 20201028 |q DE-101 |u https://d-nb.info/provenance/plan#cgwrk | |
Datensatz im Suchindex
| _version_ | 1804129478321897472 |
|---|---|
| adam_text | Contents
1
Introduction and Motivations
1
1.1
Introduction
1
1.2
A Review of Nonlinear Estimation Methods
2
1.2.1
Parametric conditional models
2
1.2.2
Estimators defined by the optimization of a criterion function
3
1.2.3
Properties of optimization estimators
6
1.3
Potential Applications of Simulated Methods
7
1.3.1
Limited dependent variable models
8
1.3.2
Aggregation effect
10
1.3.3
Unobserved heterogeneity
11
1.3.4
Nonlinear dynamic models with unobservable factors
12
1.3.5
Specification resulting from the optimization of some ex¬
pected criterion
14
1.4
Simulation
15
1.4.1
Two kinds of simulation
15
1.4.2
How to simulate?
15
1.4.3
Partial path simulations
18
2
The Method of Simulated Moments (MSM)
19
2.1
Path Calibration or Moments Calibration
19
2.1.1
Path calibration
20
2.1.2
Moment calibration
20
2.2
The Generalized Method of Moments (GMM)
21
2.2.1
The static case
21
2.2.2
The dynamic case
22
2.3
The Method of Simulated Moments (MSM)
24
Vill
CONTENTS
2.3.1
Simulators
24
2.3.2
Definition
of the MSM estimators
27
2.3.3
Asymptotic properties of the MSM
29
2.3.4
Optimal MSM
31
2.3.5
An extension of the MSM
34
Appendix 2A: Proofs of the Asymptotic Properties of the MSM Estimator
37
2A.1 Consistency
37
2A.2 Asymptotic normality
38
3
Simulated Maximum Likelihood, Pseudo-Maximum Likelihood,
and Nonlinear Least Squares Methods
41
3.1
Simulated Maximum Likelihood Estimators (SML)
41
3.1.1
Estimator based on simulators of the conditional density
functions
42
3.1.2
Asymptotic properties
42
3.1.3
Study of the asymptotic bias
44
3.1.4
Conditioning
45
3.1.5
Estimators based on other simulators
48
3.2
Simulated Pseudo-Maximum Likelihood and Nonlinear Least
Squares Methods
50
3.2.1
Pseudo-maximum likelihood (PML) methods
50
3.2.2
Simulated PML approaches
55
3.3
Bias Corrections for Simulated Nonlinear Least Squares
56
3.3.1
Corrections based on the first order conditions
56
3.3.2
Corrections based on the objective function
57
Appendix
ЗА:
The Metropolis-Hastings (MH) Algorithm
58
ЗА.
1
Definition of the algorithm
58
3A.2 Properties of the algorithm
59
4
Indirect Inference
61
4.1
The Principle
61
4.1.1
Instrumental model
61
4.1.2
Estimation based on the score
62
4.1.3
Extensions to other estimation methods
64
4.2
Properties of the Indirect Inference Estimators
66
4.2.1
The dimension of the auxiliary parameter
66
CONTENTS ix
4.2.2
Which moments to match?
67
4.2.3
Asymptotic properties
69
4.2.4
Some consistent, but less efficient, procedures
71
4.3
Examples
71
4.3.1
Estimation of a moving average parameter
71
4.3.2
Application to macroeconometrics
75
4.3.3
The efficient method of moment
76
4.4
Some Additional Properties of Indirect Inference Estimators
77
4.4.1
Second order expansion
77
4.4.2
Indirect information and indirect identification
82
Appendix 4A: Derivation of the Asymptotic Results
84
4
A.I Consistency of the estimators
85
4A.2 Asymptotic expansions
86
Appendix 4B: Indirect Information and Identification: Proofs
89
4B.
1
Computation of
//(0) 89
4B.2 Another expression of Ip(fi)
91
5
Applications to Limited Dependent Variable Models
93
5.1
MSM and SML Applied to Qualitative Models
93
5.1.1
Discrete choice model
93
5.1.2
Simulated methods
94
5.1.3
Different simulators
96
5.2
Qualitative Models and Indirect Inference based on Multivariate
Logistic Models
100
5.2.1
Approximations of a multivariate normal distribution in a
neighbourhood of the no correlation hypothesis
100
5.2.2
The use of the approximations when correlation is present
102
5.3
Simulators for Limited Dependent Variable Models based on
Gaussian Latent Variables
103
5.3.1
Constrained and conditional moments of a multivariate
Gaussian distribution
103
5.3.2
Simulators for constrained moments
104
5.3.3
Simulators for conditional moments
107
5.4
Empirical Studies
112
5.4.1
Labour supply and wage equation
112
χ
CONTENTS
5.4.2
Test of the rational expectation hypothesis from business
survey data
113
Appendix
ЗА:
Some Monte Carlo Studies
115
6
Applications to Financial Series
119
6.1
Estimation of Stochastic Differential Equations from Discrete Ob¬
servations by Indirect Inference
119
6.1.1
The principle
119
6.1.2
Comparison between indirect inference and full maximum
likelihood methods
121
6.1.3
Specification of the volatility
125
6.2
Estimation of Stochastic Differential Equations from Moment
Conditions
133
6.2.1
Moment conditions deduced from the infinitesimal
operator
133
6.2.2
Method of simulated moments
137
6.3
Factor Models
138
6.3.1
Discrete time factor models
138
6.3.2
State space form and Kitagawa s filtering algorithm
139
6.3.3
An auxiliary model for applying indirect inference on fac¬
tor ARCH models
141
6.3.4
SML applied to a stochastic volatility model
142
Appendix 6A: Form of the Infinitesimal Operator
143
7
Applications to Switching Regime Models
145
7.1
Endogenously Switching Regime Models
145
7.1.1
Static disequilibrium models
145
7.1.2
Dynamic disequilibrium models
148
7.2
Exogenously Switching Regime Models
151
7.2.1
Markovian vs. non-Markovian models
151
7.2.2
A switching state space model and the partial
Kalman
filter
152
7.2.3
Computation of the likelihood function
153
References
159
Index
173
|
| any_adam_object | 1 |
| author | Gourieroux, Christian Monfort, Alain |
| author_facet | Gourieroux, Christian Monfort, Alain |
| author_role | aut aut |
| author_sort | Gourieroux, Christian |
| author_variant | c g cg a m am |
| building | Verbundindex |
| bvnumber | BV014749104 |
| classification_rvk | QH 300 |
| classification_tum | WIR 017f MAT 620f |
| ctrlnum | (OCoLC)255486638 (DE-599)BVBBV014749104 |
| dewey-full | 330.015195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330.015195 |
| dewey-search | 330.015195 |
| dewey-sort | 3330.015195 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | Reprinted |
| format | Book |
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| id | DE-604.BV014749104 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:05:46Z |
| institution | BVB |
| isbn | 9780198774754 0198774753 |
| language | English |
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| owner_facet | DE-91 DE-BY-TUM DE-703 DE-188 |
| physical | X, 174 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| series2 | CORE lectures |
| spelling | Gourieroux, Christian Verfasser aut Simulation based econometric methods Christian Gouriéroux and Alain Monfort Reprinted Oxford Oxford Univ. Press 2002 X, 174 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier CORE lectures Ökonometrisches Modell - Simulation Simulation (DE-588)4055072-2 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 s Simulation (DE-588)4055072-2 s DE-604 Statistik (DE-588)4056995-0 s 1\p DE-604 Monfort, Alain Verfasser aut Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009990869&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Gourieroux, Christian Monfort, Alain Simulation based econometric methods Ökonometrisches Modell - Simulation Simulation (DE-588)4055072-2 gnd Statistik (DE-588)4056995-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4055072-2 (DE-588)4056995-0 (DE-588)4043212-9 |
| title | Simulation based econometric methods |
| title_auth | Simulation based econometric methods |
| title_exact_search | Simulation based econometric methods |
| title_full | Simulation based econometric methods Christian Gouriéroux and Alain Monfort |
| title_fullStr | Simulation based econometric methods Christian Gouriéroux and Alain Monfort |
| title_full_unstemmed | Simulation based econometric methods Christian Gouriéroux and Alain Monfort |
| title_short | Simulation based econometric methods |
| title_sort | simulation based econometric methods |
| topic | Ökonometrisches Modell - Simulation Simulation (DE-588)4055072-2 gnd Statistik (DE-588)4056995-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Ökonometrisches Modell - Simulation Simulation Statistik Ökonometrisches Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009990869&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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