AbstractIn 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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Toulouse - GREMAQ in its series Papers with number 92.279.
Length: 47 pages
Date of creation: 1992
Date of revision:
Contact details of provider:
Postal: GREMAQ, Universite de Toulouse I Place Anatole France 31042 - Toulouse CEDEX France.
Fax: 05 61 22 55 63
Web page: http://www-gremaq.univ-tlse1.fr/
More information through EDIRC
Other versions of this item:
- Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page. reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel).
If references are entirely missing, you can add them using this form.