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Simulation-based inference in econometrics : methods and applications

Author: Roberto S Mariano; Til Schuermann; Melvyn J Weeks
Publisher: Cambridge, England ; New York : Cambridge University Press, 2000.
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Simulation-based inference (SBI) is the fastest growing area of research in modern econometrics. This substantial international volume provides an overview of the applications and techniques at the  Read more...

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Mariano, Roberto S.
Simulation-based inference in econometrics.
Cambridge, England ; New York : Cambridge University Press, 2000
(DLC) 98035993
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Roberto S Mariano; Til Schuermann; Melvyn J Weeks
ISBN: 0511751982 9780511751981
OCLC Number: 797857068
Description: 1 online resource (x, 462 pages :) : illustrations
Contents: Part I. Simulation-Based Inference in Econometrics, Methods and Applications: Introduction Melvyn Weeks; 1. Simulation-based inference in econometrics: motivation and methods Steven Stern; Part II. Microeconometric Methods: Introduction Melvyn Weeks; 2. Accelerated Monte Carlo integration: an application to dynamic latent variable models Jean-Francois Richard and Wei Zhang; 3. Some practical issues in maximum simulated likelihood Vassillis A. Hajivassiliou; 4. Bayesian inference for dynamic discrete choice models without the need for dynamic programming John Geweke and Miochael Keane; 6. Bayesian analysis of the multinomial probit model Peter E. Rossi and Robert E. McCulloch; Part III. Time Series Methods and Models: Introduction Til Schuermann; 7. Simulated moment methods for empirical equivalent martingale measures Bent Jesper Christensen and Nicholas M. Kiefer; 8. Exact maximum likelihood estimation of observation-driven econometric models Francis X. Diebold and Til Schuermann; 9. Simulation-based inference in non-linear state space models: application to testing the permanent income hypothesis Roberto S. Mariano and Hisashi Tanizaki; 10. Simulation-based estimation of some factor models in econometrics Vance L. Martin and Adrian R. Pagan; 11. Simulation-based Bayesian inference for economic time series John Geweke; Part IV. Other Areas of Application and Technical Issues: Introduction Roberto S. Mariano; 12. A comparison of computational methods for hierarchical methods in customer survey questionnaire data Eric T. Bradlow; 13. Calibration by simulation for small sample bias correction Christian Gourieroux, Eric Renault and Nizar Touzi; 14. Simulation-based estimation of a nonlinear, latent factor aggregate production function Lee Ohanian, Giovanni L. Violante, Per Krusell, Jose-Victor Rios-Rull; 15. Testing calibrated general equilibrium models Fabio Canova and Eva Ortega; 16. Simulation variance reduction for bootstrapping Bryan W. Brown; Index.
Other Titles: Simulation-based inference in economics
Responsibility: Roberto Mariano, Til Schuermann, and Melvyn J. Weeks.

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"This book would be a valuable reference for empirical researchers interested in applying simulation-based methods." JASA

 
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