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Monte Carlo Simulation for Econometricians
By Jan Kiviet
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Description
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 testprocedures by MCS. Chapter 5 examines more general aspects of MCS, such as its history,possibilities to increase its efficiency and effectiveness, and whether synthetic randomexogenous variables should be kept fixed over all the experiments or be treated as genuinelyrandom and thus redrawn every replication. The simulation techniques discussed in the firstfive chapters are often addressed as naive or classic Monte Carlo methods. However, simulationcan also be used not just for assessing the qualities of inference techniques, but also directly forobtaining inference in practice from empirical data. Various advanced inference techniques havebeen developed which incorporate simulation techniques. An early example of this is MonteCarlo testing, which corresponds to the parametric bootstrap technique. Chapter 6 highlightssuch techniques and presents a few examples of (semi-)parametric bootstrap techniques. Thischapter also demonstrates that the bootstrap is not an alternative to MCS but just anotherpractical inference technique, which uses simulation to produce econometric inference.
Each chapter includes exercises allowing the reader to immerse in performing and interpretingMCS studies. The material has been used extensively in courses for undergraduate and graduatestudents. The various chapters contain illustrations which throw light on what uses can be madefrom MCS to discover the finite sample properties of a broad range of alternative econometricmethods with a focus on the rather basic models and techniques.
Product details
Binding:
Paperback
Edition:
illustrated
Number of Pages:
198
Release Date:
2012-03-22
Publication Date:
2012-03-22
Publisher:
Now Publishers
Languages:
Original:
English
ISBN10:
160198538X
ISBN13:
9781601985385
GPSR Manufacturer Reference:
Weight:
310 g
Height:
156 cm
Width:
234 cm
Thickness:
11 cm
Condition
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Very good
Almost no signs of wear. Book pages have no markings, accessories are intact and all other media are in good condition.
€50,49