Simulation-based inference in econometrics: methods and applications
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 estim...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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Cambridge
Cambridge University Press
2000
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| Online-Zugang: | BSB01 UBG01 UBW01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (x, 462 pages) |
| ISBN: | 9780511751981 |
| DOI: | 10.1017/CBO9780511751981 |
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Datensatz im Suchindex
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| author | Mariano, Roberto S. |
| author_facet | Mariano, Roberto S. |
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| author_variant | r s m rs rsm |
| building | Verbundindex |
| bvnumber | BV043928190 |
| classification_rvk | QH 230 QH 231 QM 300 |
| collection | ZDB-20-CBO |
| contents | Simulation-based inference in econometrics : motivation and methods / Steven Stern -- Accelerated Monte Carlo integration : an application to dynamic latent variables models / Jean-François Richard and Wei Zhang -- Some practical issues in maximum simulated likelihood / Vassilis A. Hajivassiliou -- Bayesian inference for dynamic discrete choice models without the need for dynamic programming / John F. Geweke and Michael P. Keane -- Testing binomial and multinomial choice models using Cox's non-nested test / Melvyn Weeks -- Bayesian analysis of the multinomial probit model / Robert E. McCulloch and Peter E. Rossi -- Simulated moment methods for empirical equivalent martingale measures / Bent Jesper Christensen and Nicholas M. Kiefer -- Exact maximum likelihood estimation of observation-driven econometric models / Francis X. Diebold and Til Schuermann -- Simulation-based inference in non-linear state-space models : application to testing the permanent income hypothesis / Roberto S. Mariano and Hisashi Tanizaki -- Simulation-based estimation of some factor models in econometrics / Vance L. Martin and Adrian R. Pagan -- Simulation-based Bayesian inference for economic time series / John F. Geweke -- A comparison of computational methods for hierarchical models in customer survey questionnaire data / Eric T. Bradlow -- Calibration by simulation for small sample bias correction / Christian Gourieroux, Eric Renault, and Nizar Touzi -- Simulation-based estimation of a non-linear, latent factor aggregate production function / Lee Ohanian [and others] -- Testing calibrated general equilibrium models / Fabio Canova and Eva Ortega -- Simulation variance reduction for bootstrapping / Bryan W. Brown |
| ctrlnum | (ZDB-20-CBO)CR9780511751981 (OCoLC)967420052 (DE-599)BVBBV043928190 |
| dewey-full | 330/.01/5195 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330/.01/5195 |
| dewey-search | 330/.01/5195 |
| dewey-sort | 3330 11 45195 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511751981 |
| format | Electronic eBook |
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| publisher | Cambridge University Press |
| record_format | marc |
| spelling | Mariano, Roberto S. Verfasser aut Simulation-based inference in econometrics methods and applications Roberto Mariano, Til Schuermann, and Melvyn J. Weeks Cambridge Cambridge University Press 2000 1 online resource (x, 462 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) Simulation-based inference in econometrics : motivation and methods / Steven Stern -- Accelerated Monte Carlo integration : an application to dynamic latent variables models / Jean-François Richard and Wei Zhang -- Some practical issues in maximum simulated likelihood / Vassilis A. Hajivassiliou -- Bayesian inference for dynamic discrete choice models without the need for dynamic programming / John F. Geweke and Michael P. Keane -- Testing binomial and multinomial choice models using Cox's non-nested test / Melvyn Weeks -- Bayesian analysis of the multinomial probit model / Robert E. McCulloch and Peter E. Rossi -- Simulated moment methods for empirical equivalent martingale measures / Bent Jesper Christensen and Nicholas M. Kiefer -- Exact maximum likelihood estimation of observation-driven econometric models / Francis X. Diebold and Til Schuermann -- Simulation-based inference in non-linear state-space models : application to testing the permanent income hypothesis / Roberto S. Mariano and Hisashi Tanizaki -- Simulation-based estimation of some factor models in econometrics / Vance L. Martin and Adrian R. Pagan -- Simulation-based Bayesian inference for economic time series / John F. Geweke -- A comparison of computational methods for hierarchical models in customer survey questionnaire data / Eric T. Bradlow -- Calibration by simulation for small sample bias correction / Christian Gourieroux, Eric Renault, and Nizar Touzi -- Simulation-based estimation of a non-linear, latent factor aggregate production function / Lee Ohanian [and others] -- Testing calibrated general equilibrium models / Fabio Canova and Eva Ortega -- Simulation variance reduction for bootstrapping / Bryan W. Brown 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 Wirtschaft Ökonometrisches Modell Econometric models Economics / Simulation methods Ökonometrie (DE-588)4132280-0 gnd rswk-swf Inferenzstatistik (DE-588)4247120-5 gnd rswk-swf Statistische Entscheidungstheorie (DE-588)4077850-2 gnd rswk-swf Simulation (DE-588)4055072-2 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Ökonometrie (DE-588)4132280-0 s Simulation (DE-588)4055072-2 s Inferenzstatistik (DE-588)4247120-5 s 2\p DE-604 Statistische Entscheidungstheorie (DE-588)4077850-2 s 3\p DE-604 Schuermann, Til Sonstige oth Weeks, Melvyn J. Sonstige oth Erscheint auch als Druckausgabe 978-0-521-08802-2 Erscheint auch als Druckausgabe 978-0-521-59112-6 https://doi.org/10.1017/CBO9780511751981 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Mariano, Roberto S. Simulation-based inference in econometrics methods and applications Simulation-based inference in econometrics : motivation and methods / Steven Stern -- Accelerated Monte Carlo integration : an application to dynamic latent variables models / Jean-François Richard and Wei Zhang -- Some practical issues in maximum simulated likelihood / Vassilis A. Hajivassiliou -- Bayesian inference for dynamic discrete choice models without the need for dynamic programming / John F. Geweke and Michael P. Keane -- Testing binomial and multinomial choice models using Cox's non-nested test / Melvyn Weeks -- Bayesian analysis of the multinomial probit model / Robert E. McCulloch and Peter E. Rossi -- Simulated moment methods for empirical equivalent martingale measures / Bent Jesper Christensen and Nicholas M. Kiefer -- Exact maximum likelihood estimation of observation-driven econometric models / Francis X. Diebold and Til Schuermann -- Simulation-based inference in non-linear state-space models : application to testing the permanent income hypothesis / Roberto S. Mariano and Hisashi Tanizaki -- Simulation-based estimation of some factor models in econometrics / Vance L. Martin and Adrian R. Pagan -- Simulation-based Bayesian inference for economic time series / John F. Geweke -- A comparison of computational methods for hierarchical models in customer survey questionnaire data / Eric T. Bradlow -- Calibration by simulation for small sample bias correction / Christian Gourieroux, Eric Renault, and Nizar Touzi -- Simulation-based estimation of a non-linear, latent factor aggregate production function / Lee Ohanian [and others] -- Testing calibrated general equilibrium models / Fabio Canova and Eva Ortega -- Simulation variance reduction for bootstrapping / Bryan W. Brown Wirtschaft Ökonometrisches Modell Econometric models Economics / Simulation methods Ökonometrie (DE-588)4132280-0 gnd Inferenzstatistik (DE-588)4247120-5 gnd Statistische Entscheidungstheorie (DE-588)4077850-2 gnd Simulation (DE-588)4055072-2 gnd |
| subject_GND | (DE-588)4132280-0 (DE-588)4247120-5 (DE-588)4077850-2 (DE-588)4055072-2 (DE-588)4143413-4 |
| title | Simulation-based inference in econometrics methods and applications |
| title_auth | Simulation-based inference in econometrics methods and applications |
| title_exact_search | Simulation-based inference in econometrics methods and applications |
| title_full | Simulation-based inference in econometrics methods and applications Roberto Mariano, Til Schuermann, and Melvyn J. Weeks |
| title_fullStr | Simulation-based inference in econometrics methods and applications Roberto Mariano, Til Schuermann, and Melvyn J. Weeks |
| title_full_unstemmed | Simulation-based inference in econometrics methods and applications Roberto Mariano, Til Schuermann, and Melvyn J. Weeks |
| title_short | Simulation-based inference in econometrics |
| title_sort | simulation based inference in econometrics methods and applications |
| title_sub | methods and applications |
| topic | Wirtschaft Ökonometrisches Modell Econometric models Economics / Simulation methods Ökonometrie (DE-588)4132280-0 gnd Inferenzstatistik (DE-588)4247120-5 gnd Statistische Entscheidungstheorie (DE-588)4077850-2 gnd Simulation (DE-588)4055072-2 gnd |
| topic_facet | Wirtschaft Ökonometrisches Modell Econometric models Economics / Simulation methods Ökonometrie Inferenzstatistik Statistische Entscheidungstheorie Simulation Aufsatzsammlung |
| url | https://doi.org/10.1017/CBO9780511751981 |
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