Simulation-based Econometric Methods (OUP/CORE Lecture Series) - Tapa dura

Gouriéroux, Christian; Monfort, Alain

 
9780198774754: Simulation-based Econometric Methods (OUP/CORE Lecture Series)
Tapa dura
ISBN 10: 0198774753 ISBN 13: 9780198774754
Editorial: OUP Oxford, 1997

Sinopsis

This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach.

After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Charlotte y Peter Fiell son dos autoridades en historia, teoría y crítica del diseño y han escrito más de sesenta libros sobre la materia, muchos de los cuales se han convertido en éxitos de ventas. También han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Diseño del siglo XX, El diseño industrial de la A a la Z, Scandinavian Design y Diseño del siglo XXI.

De la contraportada

Simulation-Based Econometric Methods introduces a new generation of econometric methods in the classical domain. After linear models leading to analytical expressions for estimators and non-linear models using numerical optimization algorithms, the availability of high-speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented, for instance, by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
OUP Oxford
Año de publicación
1997
Idioma
Inglés
ISBN 10 
0198774753
ISBN 13 
9780198774754
Encuadernación
Tapa dura
Número de páginas
184
Contacto del fabricante
no disponible
Persona responsable
gpsr@libri.de
gpsr@libri.de

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