TY  - BOOK
AU  - Gourieroux,Christian
AU  - Monfort,Alain
TI  - Simulation-based econometric methods
T2  - CORE lectures
SN  - 9780198774754
U1  - 330.015195 23
PY  - 1996///
CY  - Oxford
PB  - Oxford University Press
KW  - Econometric models
N1  - Includes bibliographical references and index; 1. Introduction and Motivations --
 2. The Method of Simulated Moments (MSM) --
 3. Simulated Maximum Likelihood, Pseudo-Maximum Likelihood, and Nonlinear Least Squares Methods --
 4. Indirect Inference --
 5. Applications to Limited Dependent Variable Models --
 6. Applications to Financial Series --
 7. Applications to Switching Regime Models
N2  - Simulation-Based Econometric Methods introduces a new generation of econometric methods in the classical domain. After linear models leading to analytical expressions for estimators and non-linear models using numerical optimization algorithms, the availability of high-speed computing has enabled econometricians to consider econometric models without simple analytical expressions. The previous difficulties presented, for instance, by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach
ER  -