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Instrumental Models and Indirect Encompassing

Author

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  • Geert Dhaene
  • Christian Gourieroux
  • Olivier Scaillet

Abstract

Methods of indirect, simulation-based inference for nested and nonnested hypotheses are developed. The methods make use of instrumental models and are applicable in cases where likelihood-based inference is numerically unfeasible. The asymptotic normality of an indirect Wald vector is shown and the implicit null hypotheses of the proposed tests are characterized as generalizations of the standard encompassing hypothesis. Some of the tests generalize well-known instrumental variable methods and Hausman-Wu specification tests.

Suggested Citation

  • Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998. "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, vol. 66(3), pages 673-688, May.
  • Handle: RePEc:ecm:emetrp:v:66:y:1998:i:3:p:673-688
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    Cited by:

    1. Ramdan Dridi & Eric Renault, 2000. "Semi-Parametric Indirect Inference," STICERD - Econometrics Paper Series 392, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Li, Tong, 2010. "Indirect inference in structural econometric models," Journal of Econometrics, Elsevier, vol. 157(1), pages 120-128, July.
    3. CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999. "Bartlett identities tests," CORE Discussion Papers 1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.

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