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Simulation-based Econometric Methods$
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Christian Gouriéroux and Alain Monfort

Print publication date: 1997

Print ISBN-13: 9780198774754

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774753.001.0001

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PRINTED FROM OXFORD SCHOLARSHIP ONLINE (oxford.universitypressscholarship.com). (c) Copyright Oxford University Press, 2021. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 02 December 2021

Introduction and Motivations

Introduction and Motivations

(p.1) 1 Introduction and Motivations
Simulation-based Econometric Methods

Christian Gouriéroux (Contributor Webpage)

Alain Monfort (Contributor Webpage)

Oxford University Press

Reviews the standard parametric or semi‐parametric methods (Maximum Likelihood, Pseudo‐Maximum Likelihood, GMM). Then, considers models in which the likelihood function or the conditional moments do not admit a tractable form. Finally, describes a general non‐linear framework in which path simulations or conditional simulations will be useful.

Keywords:   conditional simulations, Generalized Method of Moments, Maximum Likelihood, path simulations, Pseudo‐Maximum Likelihood

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