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Book Categories |
List of contributors | ||
Foreword | ||
Pt. I | Simulation-based inference in econometrics: methods and applications | |
Introduction | 3 | |
1 | Simulation-based inference in econometrics: motivation and methods | 9 |
Pt. II | Microeconometric methods | |
Introduction | 41 | |
2 | Accelerated Monte Carlo integration: an application to dynamic latent variables models | 47 |
3 | Some practical issues in maximum simulated likelihood | 71 |
4 | Bayesian inference for dynamic discrete choice models without the need for dynamic programming | 100 |
5 | Testing binomial and multinomial choice models using Cox's non-nested test | 132 |
6 | Bayesian analysis of the multinomial probit model | 158 |
Pt. III | Time series methods and models | |
Introduction | 179 | |
7 | Simulated moment methods for empirical equivalent martingale measures | 183 |
8 | Exact maximum likelihood estimation of observation-driven econometric models | 205 |
9 | Simulation-based inference in non-linear state-space models: application to testing the permanent income hypothesis | 218 |
10 | Simulation-based estimation of some factor models in econometrics | 235 |
11 | Simulation-based Bayesian inference for economic time series | 255 |
Pt. IV | Other areas of application and technical issues | |
Introduction | 303 | |
12 | A comparison of computational methods for hierarchical models in customer survey questionnaire data | 307 |
13 | Calibration by simulation for small sample bias correction | 328 |
14 | Simulation-based estimation of a non-linear, latent factor aggregate production function | 359 |
15 | Testing calibrated general equilibrium models | 400 |
16 | Simulation variance reduction for bootstrapping | 437 |
Index | 458 |
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