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Method Of Simulated Moments
In econometrics, the method of simulated moments (MSM) (also called simulated method of moments) is a structural estimation technique introduced by Daniel McFadden. It extends the generalized method of moments to cases where theoretical moment functions cannot be evaluated directly, such as when moment functions involve high-dimensional integrals. MSM's earliest and principal applications have been to research in industrial organization, after its development by Ariel Pakes, David Pollard, and others, though applications in consumption are emerging. Although the method requires the user to specify the distribution from which the simulations are to be drawn, this requirement can be relaxed through the use of an entropy maximizing distribution. GMM v.s. MSM *\hat_=\operatorname\,m(x,\beta)'Wm(x,\beta), where m(x,\beta) is the moment condition and W is a matrix. Using the optimal W matrix leads to efficient estimator. *\hat_=\operatorname\,\hat(x,\beta)'W\hat(x,\beta), where ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometrics
Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships.M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8–22 Reprinted in J. Eatwell ''et al.'', eds. (1990). ''Econometrics: The New Palgrave''p. 1p. 1–34Abstract (2008 revision by J. Geweke, J. Horowitz, and H. P. Pesaran). More precisely, it is "the quantitative analysis of actual economic phenomena based on the concurrent development of theory and observation, related by appropriate methods of inference". An introductory economics textbook describes econometrics as allowing economists "to sift through mountains of data to extract simple relationships". Jan Tinbergen is one of the two founding fathers of econometrics. The other, Ragnar Frisch, also coined the term in the sense in which it is used today. A basic tool for econometrics is the multiple linear regression model. ''Econometric the ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Structural Estimation
Structural estimation is a technique for estimating deep "structural" parameters of theoretical economic models. The term is inherited from the simultaneous equations model. Structural estimation is extensively using the equations from the economics theory, and in this sense is contrasted with "reduced form estimation" and other nonstructural estimations that study the statistical relationships between the observed variables while utilizing the economics theory very lightly (mostly to distinguish between the exogenous and endogenous variables, so called "descriptive models"). The idea of combining statistical and economic models dates to mid-20th century and work of the Cowles Commission. The difference between a structural parameter and a reduced-form parameter was formalized in the work of the Cowles Foundation. A structural parameter is also said to be "policy invariant" whereas the value of reduced-form parameter can depend on exogenously determined parameters set by public po ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Daniel McFadden
Daniel Little McFadden (born July 29, 1937) is an American econometrician who shared the 2000 Nobel Memorial Prize in Economic Sciences with James Heckman. McFadden's share of the prize was "for his development of theory and methods for analyzing discrete choice". He is the Presidential Professor of Health Economics at the University of Southern California and Professor of the Graduate School at University of California, Berkeley. Early life and education McFadden was born on July 29, 1937 in Raleigh, North Carolina. He attended the University of Minnesota, where he received a B.S. in Physics, and a Ph.D. in Behavioral Science (Economics) five years later (1962). While at the University of Minnesota, his graduate advisor was Leonid Hurwicz, who was awarded the Economics Nobel Prize in 2007. Career In 1964 McFadden joined the faculty of University of California, Berkeley, focusing his research on choice behavior and the problem of linking economic theory and measurement. In 1974 ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Econometrica
''Econometrica'' is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief An editor-in-chief (EIC), also known as lead editor or chief editor, is a publication's editorial leader who has final responsibility for its operations and policies. The highest-ranking editor of a publication may also be titled editor, managing ... is Guido Imbens. History ''Econometrica'' was established in 1933. Its first editor was Ragnar Frisch, recipient of the first Nobel Memorial Prize in Economic Sciences in 1969, who served as an editor from 1933 to 1954. Although ''Econometrica'' is currently published entirely in English, the first few issues also contained scientific articles written in French. Indexing and abstracting ''Econometrica'' is abstracted and indexed in: * Scopus * EconLit * Social Science Citation Inde ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Moment Function
Moment or Moments may refer to: * Present time Music * The Moments, American R&B vocal group Albums * ''Moment'' (Dark Tranquillity album), 2020 * ''Moment'' (Speed album), 1998 * ''Moments'' (Darude album) * ''Moments'' (Christine Guldbrandsen album) * ''Moments'' (Mark Holden album), 1995 * ''Moments'' (Leo Ku album) * ''Moments'' (Barbara Mandrell album) * ''Moments'' (Andrew Rayel album) * ''Moments'' (Boz Scaggs album) Songs * "Moment" (Blanche song) (2018) * "Moment" (SMAP song) (2012) * "Moment", a song by Aiden from '' Conviction'' * "Moment", a 2014 song by Young Money from '' Young Money: Rise of an Empire'', featuring Lil Wayne * "Moments" (Hans Bollandsås song) (2010) * "Moments" (Emerson Drive song) (2007) * "Moments" (Ayumi Hamasaki song) (2004) * "Moments" (Tove Lo song) (2014) * "Moments" (One Direction song) (2011) * "Moments" (Freddy Verano song) * "Moments", a song by Westlife from '' Westlife'' Film and television * ''Moment'' (film), a 197 ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Integral
In mathematics, an integral assigns numbers to functions in a way that describes displacement, area, volume, and other concepts that arise by combining infinitesimal data. The process of finding integrals is called integration. Along with differentiation, integration is a fundamental, essential operation of calculus,Integral calculus is a very well established mathematical discipline for which there are many sources. See and , for example. and serves as a tool to solve problems in mathematics and physics involving the area of an arbitrary shape, the length of a curve, and the volume of a solid, among others. The integrals enumerated here are those termed definite integrals, which can be interpreted as the signed area of the region in the plane that is bounded by the graph of a given function between two points in the real line. Conventionally, areas above the horizontal axis of the plane are positive while areas below are negative. Integrals also refer to the concept of ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Industrial Organization
In economics, industrial organization is a field that builds on the theory of the firm by examining the structure of (and, therefore, the boundaries between) firms and markets. Industrial organization adds real-world complications to the perfectly competitive model, complications such as transaction costs, limited information, and barriers to entry of new firms that may be associated with imperfect competition. It analyzes determinants of firm and market organization and behavior on a continuum between competition and monopoly, including from government actions. There are different approaches to the subject. One approach is descriptive in providing an overview of industrial organization, such as measures of competition and the size-concentration of firms in an industry. A second approach uses microeconomic models to explain internal firm organization and market strategy, which includes internal research and development along with issues of internal reorganization and renewal. ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Ariel Pakes
Ariel may refer to: Film and television * Ariel Award, a Mexican Academy of Film award * ''Ariel'' (film), a 1988 Finnish film by Aki Kaurismäki * ''ARIEL Visual'' and ''ARIEL Deluxe'', 1989 and 1991 anime video series based on the novel series by Yūichi Sasamoto * "Ariel" (''Firefly'' episode) (2002) * "Ariel" (''Once Upon a Time''), a 2013 episode of ''Once Upon a Time'' * Ariel (''The Little Mermaid''), a red-haired mermaid who is fascinated by life on dry land and falls in love with Prince Eric in the 1989 Disney film '' The Little Mermaid'' *Ariel, a planet visited in an episode of ''Space: 1999'' Literature * "Ariel" (poem), a 1965 poem by Sylvia Plath ** ''Ariel'' (poetry collection), a 1965 collection of poetry by Sylvia Plath containing the eponymous poem *T. S. Eliot's Ariel poems, a series of poems by T. S. Eliot * ''Ariel'' (novel), a 1941 science fiction novel by Alexander Beliaev * ''Ariel'' (novel series), a 1986 science fiction novel series by Yūichi Sasamoto ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Consumption (economics)
Consumption is the act of using resources to satisfy current needs and wants. It is seen in contrast to investing, which is spending for acquisition of ''future'' income. Consumption is a major concept in economics and is also studied in many other social sciences. Different schools of economists define consumption differently. According to mainstream economists, only the final purchase of newly produced goods and services by individuals for immediate use constitutes consumption, while other types of expenditure — in particular, fixed investment, intermediate consumption, and government spending — are placed in separate categories (see consumer choice). Other economists define consumption much more broadly, as the aggregate of all economic activity that does not entail the design, production and marketing of goods and services (e.g. the selection, adoption, use, disposal and recycling of goods and services). Economists are particularly interested in the relationshi ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
Indirect Inference
Indirect inference is a simulation-based method for estimating the parameters of economic models. It is a computational method for determining acceptable macroeconomic model parameters in circumstances where the available data is too voluminous or unsuitable for formal modeling. Approximate Bayesian computation can be understood as a kind of Bayesian version of indirect inference.Drovandi, Christopher C. "ABC and indirect inference." Handbook of Approximate Bayesian Computation (2018): 179-209. https://arxiv.org/abs/1803.01999 Core idea Given a dataset of real observations and a generative model with parameters \theta for which no likelihood function can easily be provided. Then we can ask the question of which choice of parameters \theta could have generated the observations. Since a maximum likelihood estimation cannot be performed, indirect inference proposes to fit a (possibly misspecified) auxiliary model\hat_ to the observations, which will result in a set of auxiliary mod ... [...More Info...] [...Related Items...] OR: [Wikipedia] [Google] [Baidu] |
