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Indirect Inference, Nuisance Parameter and Threshold Moving Average

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Abstract

We analyse the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation based estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymetries. In contrast to existing threshold models, these models allow to take into account the presence of asymetric effects of current and lagged random shocks on US GNP growth rates. Nous analysons les modifications à apporter à la méthode d'inférence indirecte lorsqu'un paramètre de nuisance n'est pas identifié sous l'hypothèse nulle. Nous développons une procédure de test adaptée à cette méthode d'estimation fondée sur des simulations, et détaillons son utilisation dans la détection de l'effet de seuil dans des modèles moyennes mobiles à seuils avec asymétries contemporaines et retardées. Par rapport aux autres modèles à seuils existants, ces modèles permettent de prendre en compte la présence d'effets asymétriques des chocs courants et retardés sur la série de taux de croissance du PNB américain.

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Bibliographic Info

Paper provided by CREFE, Université du Québec à Montréal in its series Cahiers de recherche CREFE / CREFE Working Papers with number 95.

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Length: 29 pages
Date of creation: Nov 1999
Date of revision:
Handle: RePEc:cre:crefwp:95

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Keywords: threshold model; indirect inference; nuisance parameter;

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  1. Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
  2. repec:cup:etheor:v:11:y:1995:i:2:p:195-228 is not listed on IDEAS
  3. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
  4. Ghysels, E. & Guay, A. & Hall, A., 1995. "Predictive Tests for Structural Change with Unknown Breakpoint," Cahiers de recherche 9524, Universite de Montreal, Departement de sciences economiques.
  5. 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.
  6. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  7. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," Working Papers 98-37, Centre de Recherche en Economie et Statistique.
  8. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July.
  9. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
  10. M, El Babsiri & Jean-Michel Zakoïan, 1997. "Contemporaneous Asymmetry in GARCH Processes," Working Papers 97-03, Centre de Recherche en Economie et Statistique.
  11. Gouriéroux, Christian & Monfort, Alain, 1995. "Testing, Encompassing, and Simulating Dynamic Econometric Models," Econometric Theory, Cambridge University Press, vol. 11(02), pages 195-228, February.
  12. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
  13. Eric Ghysels & Alain Guay, 1998. "Structural Change Tests for Simulated Method of Moments," CIRANO Working Papers 98s-19, CIRANO.
  14. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
  15. repec:fth:inseep:9837 is not listed on IDEAS
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Cited by:
  1. Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 479–500, December.
  2. Stefano Grassi & Paolo Santucci de Magistris, 2013. "It's all about volatility of volatility: evidence from a two-factor stochastic volatility model," Studies in Economics 1404, Department of Economics, University of Kent.
  3. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Banco de Espa�a Working Papers 1229, Banco de Espa�a.
  4. Taştan, Hüseyin, 2011. "Simulation based estimation of threshold moving average models with contemporaneous shock asymmetry," MPRA Paper 34302, University Library of Munich, Germany.

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