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Testing the assumptions behind importance sampling.

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 importanc...

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Journal:
Journal of Econometrics
Volume:
149
Issue:
1
Publication date:
2009-01-01
DOI:
URN:
uuid:bb56d1a6-f873-4079-bccb-03c10ece906b
Local pid:
oai:economics.ouls.ox.ac.uk:14688
Language:
English

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