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Indirect inference under stochastic restrictions

Author

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  • J.A. Hernández Sánchez

    (Universidad de Las Palmas de Gran Canaria. Departamento de Análisis Económico Aplicado)

  • I. Mauleón Torres

    (Universidad Rey Juan Carlos I. Departamento de Economía)

Abstract

This paper investigates inference methods to introduce prior information in econometric modelling. The set up includes the nonlinear least squares and indirect inference estimators. The goal is to show that stochastic restrictions method estimates can be asymptotically more efficient than estimates ignoring prior information and can achieve efficiency of the restricted estimate if prior information grows faster than the sample information in the asymptotics. Finally, the proposed approach is applied to a macroeconomics model where high efficiency gains are shown.

Suggested Citation

  • J.A. Hernández Sánchez & I. Mauleón Torres, 2003. "Indirect inference under stochastic restrictions," Documentos de trabajo conjunto ULL-ULPGC 2003-03, Facultad de Ciencias Económicas de la ULPGC.
    • Handle: RePEc:can:series:2003-03
    as

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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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