Econometric Inference Using Simulation Techniques

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Econometric Inference Using Simulation Techniques

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Author : Herman K. van Dijk
language : en
Publisher:
Release Date : 1995-07-11

Econometric Inference Using Simulation Techniques written by Herman K. van Dijk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-07-11 with Business & Economics categories.

This book provides a comprehensive assessment of the latest simulation techniques, and examines the three main areas of econometric inference where the use of simulation methods has been successful; Bayesian inference, classical inference, and the solution and stochastic simulation of dynamic econometric models, in particular general equilibrium models.

Econometric Inference Using Simulation Techniques

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Author : Herman Van Dijk
language : en
Publisher: John Wiley & Sons
Release Date : 1995-10-01

Econometric Inference Using Simulation Techniques written by Herman Van Dijk and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-10-01 with categories.

Special Issue On Econometric Inference Using Simulation Techniques

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Author : Bryan W. Brown
language : en
Publisher:
Release Date : 1993

Special Issue On Econometric Inference Using Simulation Techniques written by Bryan W. Brown and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.

Monte Carlo Simulation For Econometricians

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Author : Jan F. Kiviet
language : en
Publisher: Foundations & Trends
Release Date : 2012

Monte Carlo Simulation For Econometricians written by Jan F. Kiviet and has been published by Foundations & Trends this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.

Monte Carlo Simulation for Econometricians presents the fundamentals of Monte Carlo simulation (MCS), pointing to opportunities not often utilized in current practice, especially with regards to designing their general setup, controlling their accuracy, recognizing their shortcomings, and presenting their results in a coherent way. The author explores the properties of classic econometric inference techniques by simulation. The first three chapters focus on the basic tools of MCS. After treating the basic tools of MCS, Chapter 4 examines the crucial elements of analyzing the properties of asymptotic test procedures by MCS. Chapter 5 examines more general aspects of MCS, such as its history, possibilities to increase its efficiency and effectiveness, and whether synthetic random exogenous variables should be kept fixed over all the experiments or be treated as genuinely random and thus redrawn every replication. The simulation techniques that we discuss in the first five chapters are often addressed as naive or classic Monte Carlo methods. However, simulation can also be used not just for assessing the qualities of inference techniques, but also directly for obtaining inference in practice from empirical data. Various advanced inference techniques have been developed which incorporate simulation techniques. An early example of this is Monte Carlo testing, which corresponds to the parametric bootstrap technique. Chapter 6 highlights such techniques and presents a few examples of (semi-)parametric bootstrap techniques. This chapter also demonstrates that the bootstrap is not an alternative to MCS but just another practical inference technique, which uses simulation to produce econometric inference. Each chapter includes exercises allowing the reader to immerse in performing and interpreting MCS studies. The material has been used extensively in courses for undergraduate and graduate students. The various chapters all contain illustrations which throw light on what uses can be made from MCS to discover the finite sample properties of a broad range of alternative econometric methods with a focus on the rather basic models and techniques.

Journal Of Statistical Planning And Inference

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Author : North-Holland Publishing Company
language : en
Publisher:
Release Date : 2001

Journal Of Statistical Planning And Inference written by North-Holland Publishing Company and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

Journal Of Econometrics Annals 1991 3 The Measurement And Analysis Of Welfare Volume 50 1991

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Author :
language : en
Publisher:
Release Date : 1991

Journal Of Econometrics Annals 1991 3 The Measurement And Analysis Of Welfare Volume 50 1991 written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.

Statistical Inference In Calibrated Models

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Author : Fabio Canova
language : en
Publisher:
Release Date : 1993

Statistical Inference In Calibrated Models written by Fabio Canova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Econometric models categories.

Simulation Based Inference In Econometrics

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Author : Roberto Mariano
language : en
Publisher: Cambridge University Press
Release Date : 2000-07-20

Simulation Based Inference In Econometrics written by Roberto Mariano and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-07-20 with Business & Economics categories.

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.

Palgrave Handbook Of Econometrics

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Author : Terence C. Mills
language : en
Publisher: Palgrave Handbook of Econometr
Release Date : 2009-06-25

Palgrave Handbook Of Econometrics written by Terence C. Mills and has been published by Palgrave Handbook of Econometr this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-25 with Business & Economics categories.

Palgrave Handbooks of Econometrics comprises 'landmark' essays by the world's leading scholars and provides authoritative guidance in key areas of econometrics. With definitive contributions on the subject, the Handbook is an essential source for reference for professional econometricians, economists, researchers and students. Following the successful Palgrave Handbook of Econometrics: Volume 1, this second volume brings together leading academics working in econometrics today and explores applied econometrics. Volume 2 contains contributions on subjects including growth/development econometrics, computing, microeconomics, macroeconomics, finance, spatial and urban economics and international economics.

Implementing Stochastic Optimal Control Of Nonlinear Models

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Author : Andrea Cividini
language : en
Publisher:
Release Date : 1992

Implementing Stochastic Optimal Control Of Nonlinear Models written by Andrea Cividini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Control theory categories.