On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments

Michael Creel () and Dennis Kristensen

UFAE and IAE Working Papers from Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)

Abstract: This paper presents a cross validation method for selection of statistics for Approximate Bayesian Computing, and for related estimation methods such as the Method of Simulated Moments. The method uses simulated annealing to minimize the cross validation criterion over a combinatorial search space that may contain many, many elements. An example, for which optimal statistics are known from theory, shows that the method is able to select optimal statistics out of a large set of candidate statistics.

Keywords: Approximate Bayesian Computation; likelihood-free methods; selection of statistics; method of simulated moments (search for similar items in EconPapers)
JEL-codes: E24 O41 (search for similar items in EconPapers)
Pages: 17
Date: 2015-01-22, Revised 2015-02-27
New Economics Papers: this item is included in nep-ecm and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Related works:
Journal Article: On selection of statistics for approximate Bayesian computing (or the method of simulated moments) (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:aub:autbar:950.15

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