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Inference of Structural Econometric Models: A Unified Approach

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  • Tong Li

Abstract

This paper considers the parametric inference of a wide range of structural econometric models. The class of models considered includes those with parameter-dependent support and those derived from game-theoretic models. Inference of those models has raised some important econometric issues. This paper addresses these issues within a unified framework using the indirect inference principle. Such an approach not only yields easy-to-implement consistent estimators with the standard root-n asymptotic normality, but also makes inference such as hypothesis testing and model specification and selection feasible. In particular, our approach leads to a method that resembles the conventional Cowles Commission structural econometrics spirit and can be viwed as an analog to the two-stage least squares (2SLS) estimator. Monte Carlo studies and an empirical analysis of the timber sale auctions held in Oregon illustrate the usefulness and feasibility of our approach.

Suggested Citation

  • Tong Li, 2004. "Inference of Structural Econometric Models: A Unified Approach," Econometric Society 2004 North American Winter Meetings 196, Econometric Society.
    • Handle: RePEc:ecm:nawm04:196
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    More about this item

    Keywords

    Auctions; Empirical Game-theoretic Models; Indirect Inference; Job Search; Nonregular Maximum Likelihood; Parameter-Dependent Support; Two-step Estimation.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance

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