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Simulation-based Econometric Methods$
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Christian Gouriéroux and Alain Monfort

Print publication date: 1997

Print ISBN-13: 9780198774754

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774753.001.0001

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Introduction and Motivations

Introduction and Motivations

Chapter:
(p.1) 1 Introduction and Motivations
Source:
Simulation-based Econometric Methods
Author(s):

Christian Gouriéroux (Contributor Webpage)

Alain Monfort (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198774753.003.0001

Reviews the standard parametric or semi‐parametric methods (Maximum Likelihood, Pseudo‐Maximum Likelihood, GMM). Then, considers models in which the likelihood function or the conditional moments do not admit a tractable form. Finally, describes a general non‐linear framework in which path simulations or conditional simulations will be useful.

Keywords:   conditional simulations, Generalized Method of Moments, Maximum Likelihood, path simulations, Pseudo‐Maximum Likelihood

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