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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

Many of our seminars and public events this year will continue as in person or as hybrid (online and in person) events. Please check our website listings and Twitter feed @STICERD_LSE for updates.

Unless otherwise specified, in-person seminars are open to the public.

Those unable to join the seminars in-person are welcome to participate via zoom if the event is hybrid.

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.

For further information please contact Lubala Chibwe:

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