michael.creel @ uab.cat
Tel. +34 93 581 1696
Departament d'Economia i d'Història Econòmica
IDEA Econometrics II, Spring 2022
Econometrics notes Graduate level notes for econometrics, with numerous examples using the Julia language embedded as links.
29 Sept. 2021: “Inference Using Simulated Neural Moments”. This short paper looks at how estimators that simulate from a model and base estimation on statistics (moments) can benefit from filtering the statistics through a trained neural net to improve reliability of inferences. This works pretty well, I am pleased to say. There are 4 example models, including a small DSGE model, and there is an empirical application of a jump-diffusion model for S&P 500 returns. See the code archive https://github.com/mcreel/SNM. This paper continues the project started in my paper “Neural Nets for Indirect Inference”.