Customer Reviews

Simulation-Based Econometric Methods (Core Lectures)

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A truly wonderful book. If you like simulation-based methods or you are just interested in learning about the frontier in econometrics, buy this book. You are not going to find a better introduction or a clearer description of issues

Christian Gouriéroux is maybe the best French econometrician. In particular, his last discovery, the indirect inference, seems to be a very clever way of solving the problem of highly complicated likelihood functions. But in this book, only 4 pages are dedicated to present the subject, and they are filled with over complicated mathematical formulas and a very short explanation. The notations are extremely complicated for economists (at least for myself) and, if you don't have a very solid mathematical background, you'll feel lost from the beginning until the last one. Nor undergraduate economics students neither graduate applied econometricians should feel comfortable with the style of the book. I guess only professional researchers are aimed by this book. It's rather disappointing, because the array of subjects are very interesting and the author is a great econometrician.