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Testing the Assumptions Behind the Use of Importance Sampling.

Abstract:

Importance sampling is used in many aspects 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 propose to use extreme value theory to empirically assess the appropriateness of this assumption. We illustrate this method in the context of a maximum simul...

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Publisher:
Nuffield College (University of Oxford)
Series:
Economics Working Papers
Host title:
Economics Group, Nuffield College, University of Oxford, Economics Papers
Publication date:
2002-01-01
Language:
English
UUID:
uuid:147f6af1-c0bc-4c41-b3e2-10eb772e62e6
Local pid:
oai:economics.ouls.ox.ac.uk:11931
Deposit date:
2011-08-16

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