Retour au numéro
Partager sur :
Vue 20 fois
18 septembre 2003

Simulation Based Econometric Methods

Core Foundation Université Catholique de Louvain.


Christian Gouriéroux is professor at the Université de Paris IX ﷓ Dauphine and at Ensae (École Nationale de la Statistique et de lAdministration Économique). He is director of the Laboratoire de FinanceAssurance of Crest (Centre de Recherche en Économie et Statistique) and was the first director of Crest. He is the author of many research papers and several books in econometrics and statistics.

Alain Monfort is professor of statistics at the École Po~technique, professor of econometrics at Ensae and director of Crest. He is the author of many research articles and several books dealing with econometric methodology.

1
The development of theoretical ana applied econometrics has been largely influenced bythearrival of powerful and affordable computers. In particular using numerical optirnization algorithms. It has been possible to compute the estimators and their precision for complicated nonlinear



Cliquez pour agrandir
Figure n°1 :


models. However such algorithms require a tractable form of the criterion functions to be optimized. In these lessons we are interested in econometric models analytical expression. In such problems the difficulty generaly arises from the presence of integrals of large dimensions, and the idea is ta circumvent this numerical difficulty by an approach based on simulations. After a survery of potential applications leading the criterion functions containing integrals, the lectures deal with the method of simulated moments, and similar approaches based on loglikelihood or least squares criteria. A different methodology (indirect inference) uses an auxiliary simple misspecified model which gives by itself inconsistent parameter estimates, but indirect inference uses simulation approaches to correct the asymptotic bias. Two chapters givecletailsof applications ta discrete choice and duration models, and to financial models.

Articles liés par des tags

Commentaires

Aucun commentaire

Vous devez être connecté pour laisser un commentaire. Connectez-vous.