Testing the assumptions behind importance sampling

Koopman, Siem Jan; Shephard, Neil; Creal, Drew

[journal article]

dc.contributor.author	Koopman, Siem Jan	de
dc.contributor.author	Shephard, Neil	de
dc.contributor.author	Creal, Drew	de
dc.date.accessioned	2011-04-01T02:57:00Z	de
dc.date.accessioned	2012-08-29T23:11:06Z
dc.date.available	2012-08-29T23:11:06Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/23898
dc.description.abstract	Importance sampling is used in many areas of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this assumption is seldom checked. In this paper we use extreme value theory to empirically assess the appropriateness of this assumption. Our main application is the stochastic volatility model, where importance sampling is commonly used for maximum likelihood estimation of the parameters of the model.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Extreme value theory; Importance sampling; Stochastic volatility
dc.title	Testing the assumptions behind importance sampling	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Journal of Econometrics	de
dc.source.volume	149	de
dc.publisher.country	NLD
dc.source.issue	1	de
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.thesoz	simulation	en
dc.subject.thesoz	Simulation	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-238988	de
dc.date.modified	2011-05-04T16:53:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
internal.identifier.thesoz	10037865
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	2-11
internal.identifier.classoz	10905
internal.identifier.journal	195	de
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1016/j.jeconom.2008.10.002	de
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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