Description
Book SynopsisThis collection of methodological developments and applications of simulation-based methods were presented at a workshop at Louisiana State University in November, 2009. Topics include: extensions of the GHK simulator; maximum-simulated likelihood; composite marginal likelihood; and modelling and forecasting volatility in a bayesian approach.
Table of ContentsList of Contributors. Introduction. MCMC perspectives on simulated likelihood estimation. The panel probit model: Adaptive integration on sparse grids. A comparison of the maximum simulated likelihood and composite marginal likelihood estimation approaches in the context of the multivariate ordered-response model. Pretest Estimation in the Random Parameters Logit Model. Simulated maximum likelihood estimation of continuous time stochastic volatility models. Education savings accounts, parent contributions, and education attainment. Estimating the effect of exchange rate flexibility on financial account openness. Estimating a Fractional Response Model with a count endogenous regressor and an application to female labor supply. Alternative random effects panel gamma SML estimation with heterogeneity in random and one-sided error. Modeling and forecasting volatility in a bayesian approach. Advances in Econometrics. Advances in Econometrics. Copyright page.
