Simulation-based Inference in Econometrics

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