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Creator: Richard, Jean François. and Zhang, Wei. Series: Simulation-based inference in econometrics Descrição:
Original document was hand-written so not in OCR searchable format.
Palavra-chave: Simulation, Econometric modeling, and Latent variables Sujeito: C15 - Econometric and statistical methods : General - Simulation methods and C32 - Multiple or simultaneous equation models - Time-series models ; Dynamic quantile regressions
Creator: Gourieroux, Christian, 1949, Renault, Eric., and Touzi, Nizar. Series: Simulation-based inference in econometrics Abstract:
This paper is interested in the small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews (1993) median-bias correction procedure for the autoregressive parameter of an AR(1) process is closely related to indirect inference; we prove that the counterpart of the median-bias correction for indirect inference estimator is an exact bias correction in the sense of a generalized mean. Next, assuming that the auxiliary estimator admits an Edgeworth expansion, we prove that indirect inference operates automatically a second order bias correction. The latter is a well known property of the Bootstrap estimator; we therefore provide a precise comparison between these two simulation based estimators.
Palavra-chave: Edgeworth correction, Econometrics, Bootstrap, Bias correction, Economic models, Indirect inference, and Simulation Sujeito: C13 - Econometric and statistical methods : General - Estimation, C15 - Econometric and statistical methods : General - Simulation methods, C32 - Multiple or simultaneous equation models - Time-series models ; Dynamic quantile regressions, and C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions
Creator: Anderson, Paul A. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 061 Abstract:
This paper puts forward a method for simulating an existing macroeconometric model while maintaining the additional assumption that individuals form their expectations rationally. This simulation technique is a first response to Lucas' criticism that standard econometric policy evaluation allows policy rules to change but doesn't allow expectations rules to change as economic theory predicts they will. The technique is applied to a version of the St. Louis Federal Reserve Model with interesting results. The rational expectations version of the St. Louis Model exhibits the same neutrality with respect to certain policy rules as small, analytic rational expectations models considered by Lucas, Sargent, and Wallace.
Palavra-chave: Rational expectations theory, Forecasting, and Simulation Sujeito: C53 - Forecasting Models; Simulation Methods
Creator: Geweke, John Series: Working paper (Federal Reserve Bank of Minneapolis. Research Department) Number: 526 Palavra-chave: Econometrics, Monte Carlo, and Simulation Sujeito: C15 - Statistical Simulation Methods: General and C63 - Computational Techniques; Simulation Modeling