## Monte Carlo Test. Methods in. Econometrics

Jean-Marie Dufour and Lynda Khalaf **[14]**

During the last 20 years, computer-based simulation methods have revolutionized the way we approach statistical analysis. This has been made possible by the rapid development of increasingly quick and inexpensive computers. Important innovations in this field include the bootstrap methods for improving standard asymptotic approximations (for reviews, see Efron, 1982; Efron and Tibshirani, 1993; Hall, 1992; Jeong and Maddala, 1993; Vinod, 1993; Shao and Tu, 1995; Davison and Hinkley, 1997; Horowitz, 1997) and techniques where estimators and forecasts are obtained from criteria evaluated by simulation (see Mariano and Brown, 1993; Hajivassiliou, 1993; Keane, 1993; Gourieroux, Monfort, and Renault, 1993; Gallant and Tauchen, 1996)...

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