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Author : Sheng-Kai Chang
Publisher : Unknown
Page : 108 pages
File Size : 47,5 Mb
Release : 2002
Category : Electronic
ISBN : WISC:89085197960
Author : Riccardo Scarpa,Anna Alberini
Publisher : Springer Science & Business Media
Page : 456 pages
File Size : 43,6 Mb
Release : 2005-08-12
Category : Business & Economics
ISBN : 1402036833
Simulation methods are revolutionizing the practice of applied economic analysis. In this book, leading researchers from around the world discuss interpretation issues, similarities and differences across alternative models, and propose practical solutions for the choice of the model and programming. Case studies show the practical use and the results brought forth by the different methods.
Author : Roberto Mariano,Til Schuermann,Melvyn J. Weeks
Publisher : Cambridge University Press
Page : 488 pages
File Size : 49,8 Mb
Release : 2000-07-20
Category : Business & Economics
ISBN : 0521591120
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.
Author : Robert C. Meier,William T. Newell,Harold L. Pazer
Publisher : Prentice Hall
Page : 392 pages
File Size : 48,8 Mb
Release : 1969
Category : Business & Economics
ISBN : WISC:89038161782
Management development guide on simulation techniques applicable to scientific management and economics - covers pert (network analysis), business organization, quality control, models of dynamics in industry, econometrics, computer programmes and language, systems design, etc. Bibliography at the end of each chapter.
Author : Jan F. Kiviet
Publisher : Foundations & Trends
Page : 185 pages
File Size : 52,5 Mb
Release : 2012
Category : Business & Economics
ISBN : 160198538X
Monte Carlo Simulation for Econometricians presents the fundamentals of Monte Carlo simulation (MCS), pointing to opportunities not often utilized in current practice, especially with regards to designing their general setup, controlling their accuracy, recognizing their shortcomings, and presenting their results in a coherent way. The author explores the properties of classic econometric inference techniques by simulation. The first three chapters focus on the basic tools of MCS. After treating the basic tools of MCS, Chapter 4 examines the crucial elements of analyzing the properties of asymptotic test procedures by MCS. Chapter 5 examines more general aspects of MCS, such as its history, possibilities to increase its efficiency and effectiveness, and whether synthetic random exogenous variables should be kept fixed over all the experiments or be treated as genuinely random and thus redrawn every replication. The simulation techniques that we discuss in the first five chapters are often addressed as naive or classic Monte Carlo methods. However, simulation can also be used not just for assessing the qualities of inference techniques, but also directly for obtaining inference in practice from empirical data. Various advanced inference techniques have been developed which incorporate simulation techniques. An early example of this is Monte Carlo testing, which corresponds to the parametric bootstrap technique. Chapter 6 highlights such techniques and presents a few examples of (semi-)parametric bootstrap techniques. This chapter also demonstrates that the bootstrap is not an alternative to MCS but just another practical inference technique, which uses simulation to produce econometric inference. Each chapter includes exercises allowing the reader to immerse in performing and interpreting MCS studies. The material has been used extensively in courses for undergraduate and graduate students. The various chapters all contain illustrations which throw light on what uses can be made from MCS to discover the finite sample properties of a broad range of alternative econometric methods with a focus on the rather basic models and techniques.
Author : Kenneth Train
Publisher : Cambridge University Press
Page : 399 pages
File Size : 46,7 Mb
Release : 2009-07-06
Category : Business & Economics
ISBN : 9780521766555
This book describes the new generation of discrete choice methods, focusing on the many advances that are made possible by simulation. Researchers use these statistical methods to examine the choices that consumers, households, firms, and other agents make. Each of the major models is covered: logit, generalized extreme value, or GEV (including nested and cross-nested logits), probit, and mixed logit, plus a variety of specifications that build on these basics. Simulation-assisted estimation procedures are investigated and compared, including maximum stimulated likelihood, method of simulated moments, and method of simulated scores. Procedures for drawing from densities are described, including variance reduction techniques such as anithetics and Halton draws. Recent advances in Bayesian procedures are explored, including the use of the Metropolis-Hastings algorithm and its variant Gibbs sampling. The second edition adds chapters on endogeneity and expectation-maximization (EM) algorithms. No other book incorporates all these fields, which have arisen in the past 25 years. The procedures are applicable in many fields, including energy, transportation, environmental studies, health, labor, and marketing.
Author : Herman K. van Dijk,Alain Monfort,Bryan W. Brown
Publisher : Unknown
Page : 288 pages
File Size : 55,9 Mb
Release : 1995-07-11
Category : Business & Economics
ISBN : STANFORD:36105009818449
This book provides a comprehensive assessment of the latest simulation techniques, and examines the three main areas of econometric inference where the use of simulation methods has been successful; Bayesian inference, classical inference, and the solution and stochastic simulation of dynamic econometric models, in particular general equilibrium models.
Author : Christian Gouriéroux,Alain Monfort
Publisher : OUP Oxford
Page : 190 pages
File Size : 49,7 Mb
Release : 1997-01-09
Category : Business & Economics
ISBN : 9780191525094
This book introduces a new generation of statistical econometrics. 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 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. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.
Author : Humberto Barreto,Frank Howland
Publisher : Cambridge University Press
Page : 810 pages
File Size : 52,9 Mb
Release : 2006
Category : Business & Economics
ISBN : 0521843197
This highly accessible and innovative text with supporting web site uses Excel (R) to teach the core concepts of econometrics without advanced mathematics. It enables students to use Monte Carlo simulations in order to understand the data generating process and sampling distribution. Intelligent repetition of concrete examples effectively conveys the properties of the ordinary least squares (OLS) estimator and the nature of heteroskedasticity and autocorrelation. Coverage includes omitted variables, binary response models, basic time series, and simultaneous equations. The authors teach students how to construct their own real-world data sets drawn from the internet, which they can analyze with Excel (R) or with other econometric software. The accompanying web site with text support can be found at www.wabash.edu/econometrics.
Author : A. Colin Cameron,Pravin K. Trivedi
Publisher : Cambridge University Press
Page : 1058 pages
File Size : 53,9 Mb
Release : 2005-05-09
Category : Business & Economics
ISBN : 9781139444866
This book provides the most comprehensive treatment to date of microeconometrics, the analysis of individual-level data on the economic behavior of individuals or firms using regression methods for cross section and panel data. The book is oriented to the practitioner. A basic understanding of the linear regression model with matrix algebra is assumed. The text can be used for a microeconometrics course, typically a second-year economics PhD course; for data-oriented applied microeconometrics field courses; and as a reference work for graduate students and applied researchers who wish to fill in gaps in their toolkit. Distinguishing features of the book include emphasis on nonlinear models and robust inference, simulation-based estimation, and problems of complex survey data. The book makes frequent use of numerical examples based on generated data to illustrate the key models and methods. More substantially, it systematically integrates into the text empirical illustrations based on seven large and exceptionally rich data sets.
Author : Jeffrey M. Wooldridge
Publisher : MIT Press
Page : 1095 pages
File Size : 44,7 Mb
Release : 2010-10-01
Category : Business & Economics
ISBN : 9780262232586
The second edition of a comprehensive state-of-the-art graduate level text on microeconometric methods, substantially revised and updated. The second edition of this acclaimed graduate text provides a unified treatment of two methods used in contemporary econometric research, cross section and data panel methods. By focusing on assumptions that can be given behavioral content, the book maintains an appropriate level of rigor while emphasizing intuitive thinking. The analysis covers both linear and nonlinear models, including models with dynamics and/or individual heterogeneity. In addition to general estimation frameworks (particular methods of moments and maximum likelihood), specific linear and nonlinear methods are covered in detail, including probit and logit models and their multivariate, Tobit models, models for count data, censored and missing data schemes, causal (or treatment) effects, and duration analysis. Econometric Analysis of Cross Section and Panel Data was the first graduate econometrics text to focus on microeconomic data structures, allowing assumptions to be separated into population and sampling assumptions. This second edition has been substantially updated and revised. Improvements include a broader class of models for missing data problems; more detailed treatment of cluster problems, an important topic for empirical researchers; expanded discussion of "generalized instrumental variables" (GIV) estimation; new coverage (based on the author's own recent research) of inverse probability weighting; a more complete framework for estimating treatment effects with panel data, and a firmly established link between econometric approaches to nonlinear panel data and the "generalized estimating equation" literature popular in statistics and other fields. New attention is given to explaining when particular econometric methods can be applied; the goal is not only to tell readers what does work, but why certain "obvious" procedures do not. The numerous included exercises, both theoretical and computer-based, allow the reader to extend methods covered in the text and discover new insights.
Author : Marco Bee
Publisher : Unknown
Page : 124 pages
File Size : 45,9 Mb
Release : 2008
Category : Business & Economics
ISBN : UOM:39015082712343
In this book the authors present a reassessment of some recently proposed econometric methods for the analysis of continuous-time specifications of economic models. Given the vastness of this stream of the literature, that does not allow for a full exposition of the topic, the authors concentrate on the estimation and simulation analysis of a continuous-time econometric model based on a theoretical framework -- the SETI model -- developed in Padoan (1996). The application is almost completely instrumental to a more thorough analysis of methodological issues entailed with continuous-time econometrics. Nevertheless, it presents some interesting theoretical aspects such as the process of diffusion of ICT and the role of services in international diffusion of technology. The standard methods are not suitable for theoretical models in which disequilibrium analysis is necessary and, in general, presents a clear limitation when the structural multi-equation form of the model should be preserved. Thus the authors show how, by means of continuous-time econometric, it is possible to estimate the parameters of the model using the Full Information Maximum Likelihood techniques in a time series set-up. Then, the authors extend the econometric analysis in order to evaluate the out-of-equilibrium dynamic properties of a system via simulation techniques. The declared aim of the present work is to define the conditions to the equilibrium and to discuss its stability properties. Furthermore, the application provides the guidelines for the formulation and empirical validation of a model considering growth-driven-by-technology phenomena, interactions between countries through trade effects, and the diffusion of technology. Finally, spatial aspects of the problem are explicitly taken into account.
Author : Thomas H. Naylor
Publisher : Unknown
Page : 376 pages
File Size : 42,6 Mb
Release : 1968
Category : Computer simulation
ISBN : UOM:39015023314498
Provides a detailed treatment of the methods and procedures involved in planning and designing computer simulation experiments as well as the theory on which these methods are based.
Author : Riccardo Scarpa,Anna Alberini
Publisher : Springer Science & Business Media
Page : 410 pages
File Size : 52,8 Mb
Release : 2006-01-27
Category : Business & Economics
ISBN : 9781402036842
Simulation methods are revolutionizing the practice of applied economic analysis. In this book, leading researchers from around the world discuss interpretation issues, similarities and differences across alternative models, and propose practical solutions for the choice of the model and programming. Case studies show the practical use and the results brought forth by the different methods.
Author : Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Publisher : John Wiley & Sons
Page : 560 pages
File Size : 50,5 Mb
Release : 2007-03-22
Category : Business & Economics
ISBN : 9780470121528
A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.