Econometrics

Handbook of Computational Statistics, Vol. I, pp. 952-979, Forthcoming

29 Pages Posted: 18 Apr 2005

See all articles by Luc Bauwens

Luc Bauwens

Université catholique de Louvain

J. V. K. Rombouts

HEC Montreal; Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE); Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE); Center for Interuniversity Research and Analysis on Organization (CIRANO)

Abstract

This chapter reviews econometric models for which statistical inference requires intensive numerical computations. A common feature of such models is that they incorporate unobserved (or latent) variables, in addition to observed ones. This often implies that the latent variables have to be integrated from the joint distribution of latent and observed variables. The implied integral is typically of high dimension and not available analytically. Simulation methods are almost always required to solve the computational issue, but they bring new problems.

The first section deals with limited dependent variable models, with a focus on multi-period discrete choice dynamic models. The second section treats the stochastic volatility model. The last section deals with finite mixture models. Illustrative applications drawn from the literature are used.

Keywords: Numerical integration, simulation, dynamic discrete choice, stochastic volatility, finire mixtures

JEL Classification: C10, C11, C15, C35

Suggested Citation

Bauwens, Luc and Rombouts, Jeroen, Econometrics. Handbook of Computational Statistics, Vol. I, pp. 952-979, Forthcoming. Available at SSRN: https://ssrn.com/abstract=691901

Luc Bauwens (Contact Author)

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Jeroen Rombouts

HEC Montreal ( email )

3000, Chemin de la Côte-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada

Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) ( email )

34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium

Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE) ( email )

Pavillon De Sève
Ste-Foy, Quebec G1K 7P4
Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO) ( email )

2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada

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