Identification-robust inference with simulation-based pseudo-matching*
- MathematicsJournal of Business & Economic Statistics
We develop a general simulation-based inference procedure for partially specified models. Our procedure is based on matching auxiliary statistics to simulated counterparts where nuisance parameters…
SHOWING 1-10 OF 34 REFERENCES
Indirect inference with(out) constraints
- Computer ScienceQuantitative Economics
This work proposes a novel I‐I approach that uses appropriately modified unconstrained auxiliary statistics, which are simple to compute and always exists, and shows that it can be reinterpreted as a standard implementation of I-I through a properly modified binding function.
Indirect inference and calibration of dynamic stochastic general equilibrium models
Semi-Parametric Indirect Inference
We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial…
Simulation-based econometric methods
This book introduces a new generation of statistical econometrics, where the previous difficulties presented by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach.
Which Moments to Match?
- EconomicsEconometric Theory
We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to…
Indirect Inference With a Non-Smooth Criterion Function
- EconomicsJournal of Econometrics
A novel simulation algorithm is proposed that alleviates the discontinuities inherent in such indirect inference criterion functions, and permits the application of derivative-based optimisation routines to estimate the unknown model parameters.
Constrained Indirect Estimation
We develop generalized indirect estimation procedures that handle equality and inequality constraints on the auxiliary model parameters by extracting information from the relevant multipliers, and…
Through the Looking Glass: Indirect Inference via Simple Equilibria
This paper proposes an indirect inference estimation method for a large class of dynamic equilibrium models based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria that can serve as building blocks for estimation.