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econometrics.bib
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econometrics.bib
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@inproceedings{GallantWhiteNeural88,
author = "Gallant, A. R. and White, H.",
booktitle = "{Neural Networks, 1988., IEEE International Conference on}",
doi = "10.1109/ICNN.1988.23903",
keywords = "neural nets; Fourier network; Fourier series approximation; avoidable mistakes; monotone squashing; multiple input single output single hidden layer feedforward network; neural network; Neural networks",
month = "July",
pages = "657--664 vol.1",
title = "{There exists a neural network that does not make avoidable mistakes}",
year = "1988",
url={https://doi.org/10.1109/ICNN.1988.23903}
}
@article{Varian2014,
author = "Varian, Hal R.",
doi = "10.1257/jep.28.2.3",
journal = "Journal of Economic Perspectives",
number = "2",
pages = "3--28",
title = "{Big data: new tricks for econometrics}",
url = "http://www.aeaweb.org/articles.php?doi=10.1257/jep.28.2.3",
volume = "28",
year = "2014"
}
@article{BICKELYAHAV69,
author = "Bickel, P.J. and Yahav, J A",
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title = "{Some contributions to the asymptotic theory of Bayes solutions}",
year = "1969"
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@article{McFadden1989MSM,
abstract = "This paper proposes a simple modification of a conventional method of moments estimator for a discrete response model, replacing response probabilities that require numerical integration with estimators obtained by Monte Carlo simulation. This method of simulated moments (MSM) does not require precise estimates of these probabilities for consistency and asymptotic normality, relying instead on the law of large numbers operating across observations to control simulation error, and hence can use simulations of practical size. The method is useful for models such as high-dimensional multinomial probit (MNP), where computation has restricted applications.",
author = "McFadden, Daniel",
issn = "00129682, 14680262",
journal = "Econometrica",
number = "5",
pages = "995--1026",
publisher = "[Wiley, Econometric Society]",
title = "{A method of simulated moments for estimation of discrete response models without numerical integration}",
url = "http://www.jstor.org/stable/1913621",
volume = "57",
year = "1989"
}
@article{KuanWhiteNNSurvey1994,
author = "Kuan, Chung-Ming and White, Halbert",
doi = "10.1080/07474939408800273",
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volume = "13",
year = "1994"
}
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acmid = "70408",
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publisher = "Elsevier Science Ltd.",
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year = "1989"
}
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author = "Hansen, Lars Peter",
doi = "10.2307/1912775",
journal = "Econometrica",
month = "jul",
number = "4",
pages = "1029",
publisher = "{JSTOR}",
title = "{Large sample properties of generalized method of moments estimators}",
url = "http://dx.doi.org/10.2307/1912775",
volume = "50",
year = 1982
}
@article{cornuet2008inferring,
author = "Cornuet, Jean-Marie and Santos, Filipe and Beaumont, Mark A and Robert, Christian P and Marin, Jean-Michel and Balding, David J and Guillemaud, Thomas and Estoup, Arnaud",
journal = "Bioinformatics",
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pages = "2713--2719",
publisher = "Oxford Univ Press",
title = "{Inferring population history with DIY ABC: a user-friendly approach to approximate Bayesian computation}",
volume = "24",
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}
@article{csillery2010approximate,
author = "Csillery, Katalin and Blum, Michael GB and Gaggiotti, Oscar E and Francois, Olivier",
journal = "Trends in ecology and evolution",
number = "7",
pages = "410--418",
publisher = "Elsevier",
title = "{Approximate Bayesian computation (ABC) in practice}",
volume = "25",
year = "2010"
}
@unpublished{gao2014computational,
author = "Gao, Jiti and Hong, Han",
howpublished = "\url{http://papers.ssrn.com/sol3/papers.cfm?abstract\_id=2503199/}",
note = "Available at SSRN working paper 2503199, http://ssrn.com/abstract=2503199",
title = "{A computational implementation of GMM}",
year = "2014"
}
@unpublished{CreelGHK2015,
author = "Creel, M. and Gao, J. and Hong, H. and Kristensen, D.",
howpublished = "\url{http://arxiv.org/abs/1512.07385v1/}",
note = "arXiv:1512.07385v1",
title = "{Bayesian indirect inference and the ABC of GMM}",
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year = "2015"
}
@article{LeCun1998,
author = "Le{C}un, Y. and Bottou, L. and Bengio, Y. and Haffner, P.",
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pages = "2278--2324",
publisher = "Institute of Electrical {\&} Electronics Engineers ({IEEE})",
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url = "http://dx.doi.org/10.1109/5.726791",
volume = "86",
year = 1998
}
@incollection{LeCun2012,
author = "Le{C}un, Yann A. and Bottou, L{\'e}on and Orr, Genevieve B. and M{\"u}ller, Klaus-Robert",
booktitle = "{Lecture Notes in Computer Science}",
doi = "10.1007/978-3-642-35289-8\_3",
pages = "9--48",
publisher = "Springer Science Mathplus Business Media",
title = "{Efficient {BackProp}}",
url = "http://dx.doi.org/10.1007/978-3-642-35289-8\_3",
year = 2012
}
@article{emm,
author = "Gallant, A. Ronald and Tauchen, George",
doi = "10.2139/ssrn.37760",
journal = "Econometric Theory",
pages = "363--390",
title = "{Which moments to match?}",
url = "http://dx.doi.org/10.2139/ssrn.37760",
volume = "12",
year = "1996"
}
@article{GourierouxMonfortIndirect,
author = "Gouri{\'e}roux, C. and Monfort, A. and Renault, E.",
doi = "10.1002/jae.3950080507",
journal = "Journal of Applied Econometrics",
pages = "S85--S118",
title = "{Indirect inference}",
url = "http://dx.doi.org/10.1002/jae.3950080507",
year = "1993"
}
@article{PakesPollard,
author = "Pakes, A. and Pollard, D.",
doi = "10.2307/1913622",
journal = "Econometrica",
number = "5",
pages = "1027--1057",
title = "{Simulation and the asymptotics of optimization estimators}",
url = "http://dx.doi.org/10.2307/1913622",
volume = "57",
year = "1989"
}
@article{andrews:1997,
author = "Andrews, D.",
journal = "Econometrica",
number = "4",
pages = "913--931",
title = "{A stopping rule for the computation of generalized method of moments estimators}",
volume = "65",
year = "1997"
}
@unpublished{creel2011indirect,
author = "Creel, Michael and Kristensen, Dennis",
howpublished = "\url{http://ddd.uab.cat/record/71449/}",
note = "working paper, available at http://pareto.uab.es/wp/2011/87411.pdf",
title = "{Indirect likelihood inference}",
url = "http://pareto.uab.es/wp/2011/87411.pdf",
year = "2011"
}
@techreport{gentzkow2013measuring,
author = "Gentzkow, Matthew and Shapiro, Jesse M",
institution = "National Bureau of Economic Research",
note = "NBER, available at http://www.nber.org/papers/w20673/",
title = "{Measuring the sensitivity of parameter estimates to sample statistics}",
year = "2014"
}
@article{jun2009cube,
author = "Jun, Sung Jae and Pinkse, Joris and Wan, Yuanyuan",
journal = "Journal of Econometrics",
number = "1",
pages = "201--216",
publisher = "Elsevier",
title = "{Classical Laplace estimation for-consistent estimators: improved convergence rates and rate-adaptive inference}",
volume = "187",
year = "2015"
}
@article{jun2011consistent,
author = "Jun, Sung Jae and Pinkse, Joris and Wan, Yuanyuan",
journal = "Journal of Multivariate Analysis",
number = "4",
pages = "828--846",
publisher = "Elsevier",
title = "{-Consistent robust integration-based estimation}",
volume = "102",
year = "2011"
}
@article{gallanthong,
author = "Gallant, A. Ronald and Hong, Han",
journal = "Journal of Financial Econometrics",
number = "4",
pages = "523--559",
publisher = "Oxford Univ Press",
title = "{A statistical inquiry into the plausibility of recursive utility}",
volume = "5",
year = "2007"
}
@article{forneron2015abc,
author = "Forneron, Jean-Jacques and Ng, Serena",
journal = "arXiv preprint arXiv:1501.01265",
title = "{The ABC of simulation estimation with auxiliary statistics}",
year = "2015"
}
@article{beaumont2002approximate,
author = "Beaumont, Mark A and Zhang, Wenyang and Balding, David J",
eprint = "http://www.genetics.org/content/162/4/2025.full.pdf",
journal = "Genetics",
number = "4",
pages = "2025--2035",
publisher = "Genetics Soc America",
title = "{Approximate Bayesian computation in population genetics}",
url = "http://www.genetics.org/content/162/4/2025",
volume = "162",
year = "2002"
}
@article{dean2014parameter,
author = "Dean, Thomas A and Singh, Sumeetpal S and Jasra, Ajay and Peters, Gareth W",
journal = "Scandinavian Journal of Statistics",
number = "4",
pages = "970--987",
publisher = "Wiley Online Library",
title = "{Parameter estimation for hidden Markov models with intractable likelihoods}",
volume = "41",
year = "2014"
}
@article{koenker1978,
author = "Koenker, Roger and Bassett, Gilbert S",
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pages = "33--50",
title = "{Regression quantiles}",
volume = "46",
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@article{chaudhuri1991nonparametric,
author = "Chaudhuri, Probal",
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volume = "19",
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}
@article{creel2016selection,
title={On selection of statistics for approximate Bayesian computing (or the method of simulated moments)},
author={Creel, Michael and Kristensen, Dennis},
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pages={99--114},
year={2016},
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publisher={North-Holland}
}
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@incollection{NeweyMcfadden,
author = "Newey, W. and McFadden, D.",
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mrclass = "62F12 (60F17 60G15 62G30)",
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@article{hall2003large,
author = "Hall, Alastair R and Inoue, Atsushi",
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year = "2003"
}
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author = "Chernozhukov, Victor and Hansen, Christian",
journal = "Econometrica",
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author = "Fan, Jianqing and Hu, Tien-Chung and Truong, Young K",
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publisher = "JSTOR",
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}
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author = "Robinson, Peter M",
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publisher = "JSTOR",
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year = "1988"
}
@article{pollard1,
author = "Pollard, David",
journal = "Econometric Theory",
pages = "186--199",
title = "{Asymptotics for least absolute deviation regression estimator}",
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year = "1991"
}
@book{vaart,
author = "{Van der Vaart}, Aad W. and Wellner, Jon A.",
isbn = "0-387-94640-3",
pages = "xvi+508",
publisher = "Springer-Verlag, New York",
title = "{Weak convergence and empirical processes}",
year = "1996"
}
@article{RugeMurcia,
author = "Ruge-Murcia, Francisco",
journal = "Journal of Economic Dynamics and Control",
pages = "914--938",
title = "{Estimating nonlinear DSGE models by the simulated method of moments: with an application to business cycles}",
volume = "36",
year = "2012"
}
@article{FernandezRubio2005,
author = "Fern{\'a}ndez-Villaverde, Jes{\'u}s and Rubio-Ram{\'i}rez, Juan F.",
doi = "10.1002/jae.814",
issn = "1099-1255",
journal = "Journal of Applied Econometrics",
number = "7",
pages = "891--910",
publisher = "John Wiley \& Sons, Ltd.",
title = "{Estimating dynamic equilibrium economies: linear versus nonlinear likelihood}",
url = "http://dx.doi.org/10.1002/jae.814",
volume = "20",
year = "2005"
}
@article{AnSchorfheide2007,
author = "An, Sungbae and Schorfheide, Frank",
journal = "Econometric Reviews",
number = "2-4",
pages = "113--172",
title = "{Bayesian analysis of DSGE models}",
volume = "26",
year = "2007"
}
@article{Guerron2010,
author = "Guerr{\'o}n-Quintana, Pablo A.",
doi = "10.1002/jae.1106",
issn = "1099-1255",
journal = "Journal of Applied Econometrics",
number = "5",
pages = "774--804",
publisher = "John Wiley \& Sons, Ltd.",
title = "{What you match does matter: the effects of data on DSGE estimation}",
url = "http://dx.doi.org/10.1002/jae.1106",
volume = "25",
year = "2010"
}
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