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Indirect Inference

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Author Info

  • Gourieroux, C.
  • Monfort, A.
  • Renault, E.

Abstract

In this paper we present inference methods which are based on an 'incorrect' criterion, in the sense that the optimization of this criterion does not directly provide a consistent estimator of the parameter of interest. Moreover, the argument of the criterion, called the auxiliary parameter, may have a larger dimension than that of the parameter of interest. A second step, based on simulations, provides a consistent and asymptotically normal estimator of the parameter of interest. Various testing procedures are also proposed. The methods described in this paper only require that the model can be simulated, therefore they should be useful for models whose complexity rules out a direct approach. Various fields of applications are suggested (microeconometrics, finance, macroeconometrics). Copyright 1993 by John Wiley & Sons, Ltd.

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Bibliographic Info

Paper provided by Toulouse - GREMAQ in its series Papers with number 92.279.

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Length: 47 pages
Date of creation: 1992
Date of revision:
Handle: RePEc:fth:gremaq:92.279

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Keywords: econometrics;

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