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Titolo:
SIMULATION-BASED INFERENCE - A SURVEY WITH SPECIAL REFERENCE TO PANEL-DATA MODELS
Autore:
GOURIEROUX C; MONFORT A;
Indirizzi:
INSEE,DEPT RECH,15 BLVD GABRIEL PERI,BP 100 F-92244 MALAKOFF FRANCE INSEE,DEPT RECH,15 BLVD GABRIEL PERI,BP 100 F-92244 MALAKOFF FRANCE CEPREMAP F-75013 PARIS FRANCE CREST F-92244 MALAKOFF FRANCE
Titolo Testata:
Journal of econometrics
fascicolo: 1-2, volume: 59, anno: 1993,
pagine: 5 - 33
SICI:
0304-4076(1993)59:1-2<5:SI-ASW>2.0.ZU;2-S
Fonte:
ISI
Lingua:
ENG
Soggetto:
MAXIMUM-LIKELIHOOD METHODS; ESTIMATORS; MOMENTS;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Social Sciences Citation Index
Social Sciences Citation Index
CompuMath Citation Index
Citazioni:
30
Recensione:
Indirizzi per estratti:
Citazione:
C. Gourieroux e A. Monfort, "SIMULATION-BASED INFERENCE - A SURVEY WITH SPECIAL REFERENCE TO PANEL-DATA MODELS", Journal of econometrics, 59(1-2), 1993, pp. 5-33

Abstract

In this article we study the recent developments of inference methodsbased on simulations. In particular, we discuss the Simulated Generalized Method of Moments. the Simulated Maximum Likelihood Method. and the Simulated Pseudo Maximum Likelihood Methods. The asymptotic properties of the estimators are described when the number of observations n goes to infinity, and we distinguish the case where the number H of simulations per observation is fixed from the case where this number also goes to infinity. In the former case, the possible asymptotic bias is evaluated and. in the latter case, we carefully examine the consequences of the assumptions on the relative divergence rates of n and H. We also show how these methods apply to various contexts, in particularto the case of panel data models.

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Documento generato il 12/07/20 alle ore 06:18:29