Simulation-based inference. A survey with special reference to panel data models

DOI10.1016/0304-4076(93)90037-6zbMath0778.62104OpenAlexW1590229372MaRDI QIDQ689428

Alain Monfort, Christian Gouriéroux

Publication date: 2 December 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90037-6

zbMATH Keywords

asymptotic biaspanel data modelssimulationsrecent developments of inference methodsrelative divergence ratessimulated generalized method of momentssimulated maximum likelihood methodsimulated pseudo maximum likelihood methods

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05)

Related Items (26)

Biases in maximum simulated likelihood estimation of bivariate models ⋮ Estimation of quantity games in the presence of indivisibilities and heterogeneous firms ⋮ Efficient high-dimensional importance sampling ⋮ Endogeneity in stochastic frontier models ⋮ Technical and allocative inefficiency in production systems: a vine copula approach ⋮ A smooth likelihood simulator for dynamic disequilibrium models ⋮ Direct comparison of agent-based models of herding in financial markets ⋮ Unit root econometrics and economic nonlinearities ⋮ Statistical inference in the multinomial multiperiod probit model ⋮ On the estimation of zero-inefficiency stochastic frontier models with endogenous regressors ⋮ A smoothed maximum score estimator for the binary choice panel data model with an application to labour force participation ⋮ Identification and estimation of nonlinear dynamic panel data models with unobserved covariates ⋮ Econometric specification of the risk neutral valuation model ⋮ Estimation of a censored regression panel data model using conditional moment restrictions efficiently ⋮ Simulated classical tests in multinomial probit models ⋮ Simulated conditional moment tests ⋮ Generalized semiparametrically structured mixed models ⋮ FIRM DYNAMICS IN AN URBAN ECONOMY * ⋮ The indirect method: inference based on intermediate statistics -- a synthesis and examples ⋮ Estimation of dynamic and ARCH Tobit models ⋮ Simulated maximum likelihood estimation of dynamic discrete choice statistical models. Some Monte Carlo results ⋮ On the Convergence of the Monte Carlo Maximum Likelihood Method for Latent Variable Models ⋮ Bayesian econometrics: a reaction to Geweke ⋮ Two-step estimation of panel data models with censored endogenous variables and selection bias ⋮ Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators ⋮ Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Posterior and predictive densities for simultaneous equation models
• Bayesian full information analysis of simultaneous equation models using integration by Monte Carlo
• Simulated residuals
• Smooth unbiased multivariate probability simulators for maximum likelihood estimation of limited dependent variable models
• Estimating the canonical disequilibrium model. Asymptotic theory and finite sample properties
• Simulation of multivariate normal rectangle probabilities and their derivatives. Theoretical and computational results
• Simulated Moments Estimation of Markov Models of Asset Prices
• Residual-Based Procedures for Prediction and Estimation in a Nonlinear Simultaneous System
• Simulation and the Asymptotics of Optimization Estimators
• Pseudo Maximum Likelihood Methods: Theory
• Estimation of Multi-Market Fix-Price Models: An Application of Pseudo Maximum Likelihood Methods
• A Computationally Efficient Quadrature Procedure for the One-Factor Multinomial Probit Model
• A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
• Econometrics of First-Price Auctions

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