The ABC of simulation estimation with auxiliary statistics

DOI10.1016/j.jeconom.2018.03.007zbMath1452.62905arXiv1501.01265OpenAlexW2962987064MaRDI QIDQ1754514

Serena Ng, Jean-Jacques Forneron

Publication date: 31 May 2018

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

Full work available at URL: https://arxiv.org/abs/1501.01265

zbMATH Keywords

indirect inferenceapproximate Bayesian computation (ABC)synthetic likelihoodauxiliary statisticsLaplace type estimatorsimulated minimum distance (SMD)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15)

Related Items (8)

An approximate likelihood perspective on ABC methods ⋮ GENERALIZED LAPLACE INFERENCE IN MULTIPLE CHANGE-POINTS MODELS ⋮ Forecasting exchange rates using asymmetric losses: A Bayesian approach ⋮ Indirect inference estimation of dynamic panel data models ⋮ Bayesian Inference Using Synthetic Likelihood: Asymptotics and Adjustments ⋮ Identification-Robust Inference With Simulation-Based Pseudo-Matching ⋮ Continuous record Laplace-based inference about the break date in structural change models ⋮ Spatial econometrics for misaligned data

Uses Software

• DR-ABC

Cites Work

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