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Simulation-based Inference in Econometrics
Roberto MarianoTil SchuermannMelvyn J. Weeks
其他書名
Methods and Applications
出版Cambridge University Press, 2000-07-20
主題Business & Economics / EconometricsBusiness & Economics / Economics / General
ISBN05215911209780521591126
URLhttp://books.google.com.hk/books?id=Eo3pVz1ctooC&hl=&source=gbs_api
EBookSAMPLE
註釋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.