Simulation-based Inference in Econometrics
Methods and Applications
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Simulation-based Inference in Econometrics by Roberto S. Mariano
Book DescriptionThis 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.
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Book DetailsISBN: 9780521088022
(228mm x 152mm x 27mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 11-Dec-2008
Country of Publication: United Kingdom
Books By Author Roberto S. Mariano
Simulation-based Inference in Econometrics, Hardback (July 2000)» View all books by Roberto S. Mariano
An overview of the techniques and practices involved in simulation-based inference.
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