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Monte Carlo Simulation for Econometricians: Foundations and Trends(r) in Econometrics, cartea 11

Autor Jan F. Kiviet
en Limba Engleză Paperback – 29 feb 2012
Monte Carlo Simulation for Econometricians presents the fundamentals of Monte Carlosimulation (MCS), pointing to opportunities not often utilized in current practice, especially withregards to designing their general setup, controlling their accuracy, recognizing theirshortcomings, and presenting their results in a coherent way. The author explores the propertiesof classic econometric inference techniques by simulation.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.
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Specificații

ISBN-13: 9781601985385
ISBN-10: 160198538X
Pagini: 198
Dimensiuni: 156 x 234 x 11 mm
Greutate: 0.29 kg
Editura: Now Publishers
Seriile Foundations and Trends in Econometrics, Foundations and Trends(r) in Econometrics