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Christian Gourieroux
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Simulation-Based Econometric Methods (OUP/CORE Lecture Series) 1st Edition

by Christian Gouriéroux (Author), Alain Monfort (Author)
3.8 3.8 out of 5 stars 4 ratings
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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.
Previous page
  1. ISBN-10
    0198774753
  2. ISBN-13
    978-0198774754
  3. Edition
    1st
  4. Publisher
    Oxford University Press
  5. Publication date
    April 10, 1997
  6. Language
    English
  7. Dimensions
    0.9 x 6.2 x 9.1 inches
  8. Print length
    184 pages
  9. See all details
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Editorial Reviews

Review

`A thorough study.' ASLIB Book Guide`'...The remaining chapters are devoted to applications.These are very useful since they give a precise idea of what has to be done in order to implement, from a practical point of view, the theoretical methods discussed...This book provides a very good review of the available methods that are proposed in recent econometric literature, along with a critical discussion...'' Economic Notes 3

From the Back Cover

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.

Product details

  • Publisher ‏ : ‎ Oxford University Press; 1st edition (April 10, 1997)
  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 184 pages
  • ISBN-10 ‏ : ‎ 0198774753
  • ISBN-13 ‏ : ‎ 978-0198774754
  • Lexile measure ‏ : ‎ 1280L
  • Item Weight ‏ : ‎ 1.04 pounds
  • Dimensions ‏ : ‎ 0.9 x 6.2 x 9.1 inches
  • Customer Reviews:
    3.8 3.8 out of 5 stars 4 ratings

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Christian Gourieroux

Christian Gourieroux

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Customer reviews

3.8 out of 5 stars
3.8 out of 5
4 global ratings

Top reviews from the United States

ddd
3.0 out of 5 stars Notations...
Reviewed in the United States on March 17, 2013
Verified Purchase
I don't feel so much difficulty with this book but the notation... I've just finished Ch.1 and the beginning of Ch.2 but I found several parts which need improvement on notations. He uses unfamiliar symbol(a version of pi?) for very complicated statement for explanation of LDV model. In GMM part, he first uses K as a function and in the next sentence he uses as number of dimension of other matrix. Z is sometimes not related with z. Omitting superscript is sometimes harmful. Some of notations suddenly show up without any explanation. But this seems best for MSM as long as I know. I hope someone write better one.
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Daniel Ventosa S
2.0 out of 5 stars A very disappointing book: extremely complicated
Reviewed in the United States on March 20, 2001
Christian Gouriéroux is maybe the best French econometrician. In particular, his last discovery, the indirect inference, seems to be a very clever way of solving the problem of highly complicated likelihood functions. But in this book, only 4 pages are dedicated to present the subject, and they are filled with over complicated mathematical formulas and a very short explanation. The notations are extremely complicated for economists (at least for myself) and, if you don't have a very solid mathematical background, you'll feel lost from the beginning until the last one. Nor undergraduate economics students neither graduate applied econometricians should feel comfortable with the style of the book. I guess only professional researchers are aimed by this book. It's rather disappointing, because the array of subjects are very interesting and the author is a great econometrician.
6 people found this helpful
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XFV
5.0 out of 5 stars Wonderful Introduction to the Topic
Reviewed in the United States on April 20, 2000
A truly wonderful book. If you like simulation-based methods or you are just interested in learning about the frontier in econometrics, buy this book. You are not going to find a better introduction or a clearer description of issues
7 people found this helpful
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