Which model to match?
AbstractThe asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated guess. In this article we introduce a class of information criteria that helps the user to optimize the choice between nested and non–nested auxiliary models. They are the indirect analogues of the widely used Akaike–type criteria. A thorough Monte Carlo study based on two simple and illustrative models shows the usefulness of the criteria.
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Bibliographic InfoPaper provided by Banco de Espa�a in its series Banco de Espa�a Working Papers with number 1229.
Length: 42 pages
Date of creation: Aug 2012
Date of revision:
Indirect inference; efficient method of moments; auxiliary model; information criteria; asymptotic efficiency;
Other versions of this item:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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