SIMULATION-BASED ECONOMETRIC METHODS
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《基于模拟的计量经济学方法》书评
- 研究问题
- 当估计准则涉及难以解析处理的高维积分时，模拟如何使计量估计可行？所给书评以计算能力变化解释相关方法的发展。
- 方法与思路
- 文本按闭式估计、数值优化和模拟估计三个阶段介绍方法演进，强调给定参数与外生变量可模拟模型，并提及间接推断原则。
- 材料陈述的贡献
- 摘要介绍模拟可构造标准估计程序的对应版本，也催生基于间接推断的新程序；这些是所评著作的内容概述，不能视为书评原创结果。
- 阅读关注点
- 应核对模拟准则的构造、模拟误差与样本规模的关系，以及间接推断的辅助模型选择；摘要中的模型举例不足以说明完整章节覆盖。
- 阅读边界
- 所给 Crossref 文本呈书评性质，未提供一致性条件、算法细节或效率比较，不能从历史叙述推断具体方法的普遍优势。
原文摘要
The accessibility of high-performance computing power has always influenced theoretical and applied econometrics. Gouriéroux and Monfort begin their recent offering, Simulation-Based Econometric Methods , with a stylized three-stage classification of the history of statistical econometrics. In the first stage, lasting through the 1960's, models and estimation methods were designed to produce closed-form expressions for the estimators. This spurred thorough investigation of the standard linear model, linear simultaneous equations with the associated instrumental variable techniques, and maximum likelihood estimation within the exponential family. During the 1970's and 1980's the development of powerful numerical optimization routines led to the exploration of procedures without closed-form solutions for the estimators. During this period the general theory of nonlinear statistical inference was developed, and nonlinear micro models such as limited dependent variable models and nonlinear time series models, e.g., ARCH, were explored. The associated estimation principles included maximum likelihood (beyond the exponential family), pseudo-maximum likelihood, nonlinear least squares, and generalized method of moments. Finally, the third stage considers problems without a tractable analytic criterion function. Such problems almost invariably arise from the need to evaluate high-dimensional integrals. The idea is to circumvent the associated numerical problems by a simulation-based approach. The main requirement is therefore that the model may be simulated given the parameters and the exogenous variables. The approach delivers simulated counterparts to standard estimation procedures and has inspired the development of entirely new procedures based on the principle of indirect inference.