This paper focuses on simulation-based inference for the time-deformation models directed by a duration process. In …-Hastings (MH) method, where the proposal distributions are sampled through a slice sampler. Simulation studies conducted in this …

In this paper we discuss several aspects of simulation based Bayesian econometric inference. We start at an elementary … level on basic concepts of Bayesian analysis; evaluating integrals by simulation methods is a crucial ingredient in Bayesian … inference. Next, the most popular and well-known simulation techniques are discussed, the Metropolis-Hastings algorithm and …

computationally difficult to implement, and simulation studies show the test to have bad small-sample properties. We extend Gencay …, simulation results show that our test has quicker convergence and hence better small-sample properties …

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …

the draws used for simulation as a latent variable to be augmented in the Bayesian framework; see Flury and Shephard (2011 …

Large scale, computationally expensive simulation models pose a particular challenge when it comes to estimating their … parameters from empirical data. Most simulation models do not possess closed form expressions for their likelihood function …, requiring the use of simulation-based inference, such as simulated method of moments, indirect inference or approximate Bayesian …