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Semi-Parametric Indirect Inference

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Author Info

  • Ramdan Dridi
  • Eric Renault

Abstract

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 Encompassing which lays the emphasis on Pseudo True Values of Interest. The main difference with the older notion of encompassing is that some components of the pseudo-true value of interest associated with the structural parameters do correspond to true unknown values. This enables us to produce a theory of robust estimation despite mis-specifications in the structural model being used as a simulator. We also provide the asymptotic probability distributions of our SII estimators as well as Wald Encompassing Tests (WET) and advocate the use of Hausman type tests on the required assumptions for the consistency of the SII estimators. We illustrate our theory with examples based on semi-parametric stochastic volatility models.

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File URL: http://sticerd.lse.ac.uk/dps/em/em392.pdf
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Bibliographic Info

Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2000/392.

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Date of creation: May 2000
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Handle: RePEc:cep:stiecm:/2000/392

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Web page: http://sticerd.lse.ac.uk/_new/publications/default.asp

Related research

Keywords: Indirect inference; partial encompassing; pseudo-true value of interest; structural models; instrumental models; Wald encompassing tests.;

References

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Citations

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Cited by:
  1. Eric Guysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Cahiers de recherche CREFE / CREFE Working Papers 61, CREFE, Université du Québec à Montréal.
  2. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series /2000/396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  3. Olivier Bargain & Nicolas Moreau, 2013. "The Impact of Tax-Benefit Reforms on Labor Supply in a Simulated Nash-bargaining Framework," Journal of Family and Economic Issues, Springer, vol. 34(1), pages 77-86, March.

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