Jump to ContentJump to Main Navigation
Simulation-based Econometric Methods$
Users without a subscription are not able to see the full content.

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

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2017. All Rights Reserved. Under the terms of the licence agreement, an individual user may print out a PDF of a single chapter of a monograph in OSO for personal use (for details see http://www.oxfordscholarship.com/page/privacy-policy).date: 19 April 2018

Simulated Maximum Likelihood, Pseudo‐Maximum Likelihood, and Nonlinear Least Squares Methods

Simulated Maximum Likelihood, Pseudo‐Maximum Likelihood, and Nonlinear Least Squares Methods

Chapter:
(p.41) 3 Simulated Maximum Likelihood, Pseudo‐Maximum Likelihood, and Nonlinear Least Squares Methods
Source:
Simulation-based Econometric Methods
Author(s):

Christian Gouriéroux (Contributor Webpage)

Alain Monfort (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0198774753.003.0003

The simulated analogues to Maximum Likelihood, Pseudo‐Maximum Likelihood, and Non‐Linear Least Squares Methods are presented. Their asymptotic properties and bias corrections are given under various assumptions. Several kinds of simulators are explored and, among them, simulations based on conditioning, on EM algorithm, or on importance sampling. The Metropolis Hastings algorithm is also considered.

Keywords:   conditioning, EM algorithm, importance sampling, least squares, likelihood, pseudo‐likelihood

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .