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Accurate and robust tests for indirect inference

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  • Veronika Czellar
  • Elvezio Ronchetti

Abstract

In this paper we propose accurate parameter and over-identification tests for indirect inference. Under the null hypothesis the new tests are asymptotically χ-super-2-distributed with a relative error of order n-super- - 1. They exhibit better finite sample accuracy than classical tests for indirect inference, which have the same asymptotic distribution but an absolute error of order n-super- - 1-2. Robust versions of the tests are also provided. We illustrate their accuracy in nonlinear regression, Poisson regression with overdispersion and diffusion models. Copyright 2010, Oxford University Press.

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  • Veronika Czellar & Elvezio Ronchetti, 2010. "Accurate and robust tests for indirect inference," Biometrika, Biometrika Trust, vol. 97(3), pages 621-630.
    • Handle: RePEc:oup:biomet:v:97:y:2010:i:3:p:621-630
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    File URL: http://hdl.handle.net/10.1093/biomet/asq040
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    Citations

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    Cited by:

    1. Lorenzo Camponovo & Taisuke Otsu, 2017. "Relative error accurate statistic based on nonparametric likelihood," STICERD - Econometrics Paper Series 593, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    2. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," HEC Research Papers Series 947, HEC Paris.
    3. Camponovo, Lorenzo & Matsushita, Yukitoshi & Otsu, Taisuke, 2021. "Relative error accurate statistic based on nonparametric likelihood," LSE Research Online Documents on Economics 107521, London School of Economics and Political Science, LSE Library.
    4. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    5. Gubhinder Kundhi & Paul Rilstone, 2015. "Saddlepoint expansions for GEL estimators," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 1-24, March.
    6. Aeberhard, William H. & Cantoni, Eva & Heritier, Stephane, 2017. "Saddlepoint tests for accurate and robust inference on overdispersed count data," Computational Statistics & Data Analysis, Elsevier, vol. 107(C), pages 162-175.
    7. Lô, Serigne N. & Ronchetti, Elvezio, 2012. "Robust small sample accurate inference in moment condition models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3182-3197.
    8. Ronchetti, Elvezio, 2020. "Accurate and robust inference," Econometrics and Statistics, Elsevier, vol. 14(C), pages 74-88.
    9. Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".

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