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Indirect inference under stochastic restrictions

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Author Info
J.A. Hernández Sánchez () (Universidad de Las Palmas de Gran Canaria. Departamento de Análisis Económico Aplicado)
I. Mauleón Torres () (Universidad Rey Juan Carlos I. Departamento de Economía)

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Abstract

This paper investigates inference methods to introduce prior information in econometric modelling. The set up includes the nonlinear least squares and indirect inference estimators. The goal is to show that stochastic restrictions method estimates can be asymptotically more efficient than estimates ignoring prior information and can achieve efficiency of the restricted estimate if prior information grows faster than the sample information in the asymptotics. Finally, the proposed approach is applied to a macroeconomics model where high efficiency gains are shown.

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Publisher Info
Paper provided by Facultad de Ciencias Económicas de la ULPGC in its series Documentos de trabajo conjunto ULL-ULPGC with number 2003-03.

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Length: 39 pages
Date of creation: 2003
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Handle: RePEc:can:series:2003-03

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Related research
Keywords: Asymptotic efficiency prior information simulation based estimation capital stock estimation variable depreciation rate nonlinear models.

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References listed on IDEAS
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  1. Den Haan, Wouter J & Marcet, Albert, 1994. "Accuracy in Simulations," Review of Economic Studies, Blackwell Publishing, vol. 61(1), pages 3-17, January. [Downloadable!] (restricted)
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  2. Duffie, Darrell & Singleton, Kenneth J, 1993. "Simulated Moments Estimation of Markov Models of Asset Prices," Econometrica, Econometric Society, vol. 61(4), pages 929-52, July. [Downloadable!] (restricted)
  3. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  4. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
    Other versions:
    • Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
    • Gourieroux, C. & Monfort, A & Renault, E., 1992. "Indirect Inference," Papers 9215, Institut National de la Statistique et des Etudes Economiques-.
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