Inference of Structural Econometric Models: A Unified Approach
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
|Date of creation:||11 Aug 2004|
|Date of revision:|
|Contact details of provider:|| Phone: 1 212 998 3820|
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ecm:nawm04:196. See general 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: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.