Maximum Simulated Likelihood Methods and Applications

Carter Hill, Tom Fomby, William Greene, R. Carter Hill

• Éditeur: Emerald Group Publishing Limited
• Année: 2010
• ISBN:
  9780857241504
• Sujet: Economics
• Sous-sujet: Econometrics

This volume is a collection of methodological developments and applications of simulation-based methods that were presented at a workshop at Louisiana State University in November, 2009. The first two papers are extensions of the GHK simulator: one reconsiders the computation of the probabilities in a discrete choice model while another example uses an adaptive version of sparse-grids integration (SGI) instead of simulation. Two studies are focused specifically on the methodology: the first compares the performance of the maximum-simulated likelihood (MSL) approach with a proposed composite marginal likelihood (CML) approach in multivariate ordered-response situations, while the second examines methods of testing for the presence of heterogeneity in the heterogeneity model. Further topics examined include: 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 modelling and forecasting volatility in a bayesian approach.

Table des matières

• Front cover
• Advances in Econometrics
• Copyright page
• Contents
• List of contributors
• Introduction
• Part I: Theory and Methods
• Part II: Applications