Econometric Inference Using Simulation Techniques

The study of algorithms for efficient numerical integration by means of simulation techniques has become an important area in econometrics. This text covers the main areas of econometric inference where the use of simulation methods has been successful.

---

The study of algorithms for efficient numerical integration by means of simulation techniques has become an important area in econometrics. This text presents the latest thinking in the field, with contributions from key international researchers. It covers the three main areas of econometric inference where the use of simulation methods has been successful: Bayesian inference; classical inferences; and the solution and stochastic simulation of dynamic econometric models.