EconPapers    
Economics at your fingertips  
 

Testing the assumptions behind importance sampling

Siem Jan Koopman, Neil Shephard () and Drew Creal

Journal of Econometrics, 2009, vol. 149, issue 1, 2-11

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 importance sampling is commonly used for maximum likelihood estimation of the parameters of the model.

Keywords: Extreme; value; theory; Importance; sampling; Simulation; Stochastic; volatility (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(08)00169-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:149:y:2009:i:1:p:2-11

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-31
Handle: RePEc:eee:econom:v:149:y:2009:i:1:p:2-11