tailieunhanh - Handbook of Econometrics Vols1-5 _ Chapter 16

Introduction At the outset, it is useful to distinguish Monte Carlo methods from distribution sampling even though their application in econometrics may seem rather similar. The former is a general approach whereby mathematical problems of an analytical nature which prove technically intractable | Chapter 16 MONTE CARLO EXPERIMENTATION IN ECONOMETRICS DAVID F. HENDRY Nuffield College Oxford Contents 1. Monte Carlo experimentation 939 . Introduction 939 . Simulation experiments 942 . Experimentation versus analysis 943 2. The econometric model 945 . The data generation process 945 . Known distributional and invariance results 946 3. The Monte Carlo model 947 . Random numbers 947 . Efficient simulation Reliability and validity 949 . Embedding the econometric model in the Monte Carlo model 950 4. Reducing imprecision Variance reduction 951 . Common random numbers 951 . Antithetic random numbers 952 . Control variates 952 5. Reducing specificity Response surfaces 955 . Response surface formulations 955 . Heteroscedasticity transformations 959 . Investigating validity 962 It is a pleasure to acknowledge my gratitude to Frank Srba for invaluable help in developing the computer programmes NAIVE CONVAR and DAGER to the Social Science Research Council for financial support for this research over many years and to Peter Fisk Robin Harrison Barry Margolin Grayham Mizon Richard Quandt Jean-Francois Richard Pravin Trivedi and especially Denis Sargan for much advice on and many suggestions about the underlying work. Julia Campos Neil Ericsson Max King Teun Kloek Svend Hylleberg and Gene Savin provided helpful comments on an earlier version of this chapter which was written during a visit to the Center for Operations Research and Econometrics Louvain-la-Neuve. I am grateful to CORE for making that visit possible and to the London School of Economics for supporting my work in this area over more than a decade. Handbook of Econometrics Volume II Edited by Z. Griliches and . Intriligator Elsevier Science Publishers BV 1984 938 D. F. Hendry 6. An application to a simple model 963 . Formulation of the experiments 963 . Estimating E a a T 965 . Estimating i T2 a 968 . Estimating 969 . Estimating E 6e21 a T 970 . .