Joint Econometrics and Statistics Workshop
Bayesian Indirect Inference and the ABC of GMM
Dennis Kristensen (University College London)
Friday 21 February 2020 12:00 - 13:00
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About this event
Approximate Bayesian Computation (ABC) is a Bayesian technique for estimation of parametric models where the likelihood is not available on closed form. We extend ABC in two directions: First, we demonstrate how one easily can incorporate parameter-dependent moments/statistics into the method. Second, we propose a semiparametric version that allows for the usage of ABC in the context of generalized method of moments (GMM). The two extensions are special cases of what we refer to as generalized ABC (GABC) - a general class of ABC-type estimators. We derive the large-sample properties of GABC estimators and analyze the effect of simulations and smoothing on the estimators.
Econometrics and Statistics seminars are held on Fridays in term time at 12:00-13:00, ONLINE, unless specified otherwise.
Seminar organisers: Dr Tatiana Komarova and Dr Yunxiao Chen.
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