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Indirect inference in structural econometric models

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  • Li, Tong
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    Abstract

    This paper considers parametric inference in a wide range of structural econometric models. It illustrates how the indirect inference principle can be used in the inference of these models. Specifically, we show that an ordinary least squares (OLS) estimation can be used as an auxiliary model, which leads to a method that is similar in spirit to a two-stage least squares (2SLS) estimator. Monte Carlo studies and an empirical analysis of timber sale auctions held in Oregon illustrate the usefulness and feasibility of our approach.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 157 (2010)
    Issue (Month): 1 (July)
    Pages: 120-128

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    Handle: RePEc:eee:econom:v:157:y:2010:i:1:p:120-128

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    Web page: http://www.elsevier.com/locate/jeconom

    Related research

    Keywords: Auxiliary model OLS Parameter calibration Parameter-dependent support Simulation;

    References

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    Cited by:
    1. Creel, Michael & Kristensen, Dennis, 2011. "Indirect Likelihood Inference," Dynare Working Papers 8, CEPREMAP.
    2. Fatih Guvenen & Anthony Smith, 2013. "Inferring labor income risk and partial insurance from economic choices," Staff Report 485, Federal Reserve Bank of Minneapolis.
    3. Thomas Cornelissen & John Heywood & Uwe Jirjahn, 2014. "Reciprocity and Profit Sharing: Is There an Inverse U-shaped Relationship?," Journal of Labor Research, Springer, vol. 35(2), pages 205-225, June.
    4. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

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