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Simulation-based Econometric Methods
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Simulation-based Econometric Methods

Christian Gouriéroux and Alain Monfort

Abstract

This book deals with a new generation of econometric methods leading to criterion functions without simple analytical expression. The difficulty often comes from the presence of integrals of large dimension in the probability density function or in the moments, and the idea is to circumvent this numerical difficulty by an approach based on simulation. The main methods considered are the methods of Simulated Moments, Simulated Maximum Likelihood, Simulated Pseudo‐Maximum Likelihood, Simulated Non‐Linear Least Squares, and Indirect Inference. These methods are applied to Limited Dependent Variab ... More

Keywords: Pseudo‐Maximum Likelihood, Simulated Indirect Inference, Simulated Non‐Linear Least Square

Bibliographic Information

Print publication date: 1997 Print ISBN-13: 9780198774754
Published to Oxford Scholarship Online: November 2003 DOI:10.1093/0198774753.001.0001

Authors

Affiliations are at time of print publication.

Christian Gouriéroux, author
ENSAE and the University of Paris IX
Author Webpage

Alain Monfort, author
ENSAE and the École Polytechnique, Paris
Author Webpage

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