Simulation-based inference in econometrics: methods and applications

This substantial volume has two principal objectives. First it provides an overview of the statistical foundations of Simulation-based inference. This includes the summary and synthesis of the many concepts and results extant in the theoretical literature, the different classes of problems and estimators, the asymptotic properties of these estimators, as well as descriptions of the different simulators in use. Second, the volume provides empirical and operational examples of SBI methods. Often what is missing, even in existing applied papers, are operational issues. Which simulator works best for which problem and why? This volume will explicitly address the important numerical and computational issues in SBI which are not covered comprehensively in the existing literature. Examples of such issues are: comparisons with existing tractable methods, number of replications needed for robust results, choice of instruments, simulation noise and bias as well as efficiency loss in practice.

Simulation-based inference in econometrics : motivation and methods / Steven Stern -- Accelerated Monte Carlo integration : an application to dynamic latent variables models / Jean-François Richard and Wei Zhang -- Some practical issues in maximum simulated likelihood / Vassilis A. Hajivassiliou -- Bayesian inference for dynamic discrete choice models without the need for dynamic programming / John F. Geweke and Michael P. Keane -- Testing binomial and multinomial choice models using Cox's non-nested test / Melvyn Weeks -- Bayesian analysis of the multinomial probit model / Robert E. McCulloch and Peter E. Rossi -- Simulated moment methods for empirical equivalent martingale measures / Bent Jesper Christensen and Nicholas M. Kiefer -- Exact maximum likelihood estimation of observation-driven econometric models / Francis X. Diebold and Til Schuermann -- Simulation-based inference in non-linear state-space models : application to testing the permanent income hypothesis / Roberto S. Mariano and Hisashi Tanizaki -- Simulation-based estimation of some factor models in econometrics / Vance L. Martin and Adrian R. Pagan -- Simulation-based Bayesian inference for economic time series / Jo…