Simulation-based Inference in Econometrics: Methods and Applications

✍ Scribed by Roberto Mariano, Til Schuermann, Melvyn J. Weeks

• Publisher: Cambridge University Press
• Year: 2008
• Tongue: English
• Leaves: 471
• Category: Library

✦ Synopsis

Simulation-based inference (SBI) is the fastest growing area of research in modern econometrics. The techniques of SBI are widespread among scholars and researchers, and have become a staple part of undergraduate and postgraduate research programs. In this volume, Mariano, Schuermann, Weeks and their contributors provide an overview of the applications and techniques at the cutting edge of the subject, as well as a comprehensive survey of the existing literature. The contributions include important new essays by many of the leading figures currently working in econometrics.

✦ Table of Contents

Contents......Page 6
Contributors......Page 8
Part I Simulation-based inference in econometrics: methods and applications......Page 12
Introduction......Page 14
1 Simulation-based inference in econometrics: motivation and methods......Page 20
Part II Microeconometric methods......Page 50
Introduction......Page 52
2 Accelerated Monte Carlo integration: an application to dynamic latent variables models......Page 58
3 Some practical issues in maximum simulated likelihood......Page 82
4 Bayesian inference for dynamic discrete choice models without the need for dynamic programming......Page 111
5 Testing binomial and multinomial choice models using Cox’s nonnested test......Page 141
6 Bayesian analysis of the multinomial probit model......Page 167
Part III Time series methods and models......Page 186
Introduction......Page 188
7 Simulated moment methods for empirical equivalent martingale measures......Page 192
8 Exact maximum likelihood estimation of observation-driven econometric models......Page 214
9 Simulation-based inference in non-linear state-space models: application to testing the permanent income hypothesis......Page 227
10 Simulation-based estimation of some factor models in econometrics......Page 244
11 Simulation-based Bayesian inference for economic time series......Page 264
Part IV Other areas of application and technical issues......Page 310
Introduction......Page 312
12 A comparison of computational methods for hierarchical models in customer survey questionnaire data......Page 316
13 Calibration by simulation for small sample bias correction......Page 337
14 Simulation-based estimation of a non-linear, latent factor aggregate production function......Page 368
15 Testing calibrated general equilibrium models......Page 409
16 Simulation variance reduction for bootstrapping......Page 446
Index......Page 467