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  3. Simulation-based Inference in Econometrics
  • Cited by 12
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    • Publisher:
      Cambridge University Press
      Publication date:
      04 August 2010
      20 July 2000
      ISBN:
      9780511751981
      9780521591126
      9780521088022
      DOI:
      https://doi.org/10.1017/CBO9780511751981
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.835kg, 476 Pages
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.69kg, 476 Pages
      • Subjects:
      Economics, Econometrics and Mathematical Methods
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    • Selected: Digital
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    Subjects:
    Economics, Econometrics and Mathematical Methods
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    Book description

    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.

    Reviews

    "This book would be a valuable reference for empirical researchers interested in applying simulation-based methods." JASA

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