Indirect Inference Based on the Score
The Ecient Method of Moments (EMM) estimator popularized by Gallant and Tauchen (1996) is an indirect inference estimator based on the simulated auxiliary score evaluated at the sample estimate of the auxiliary parameters. We study an alternative estimator that uses the sample auxiliary score evaluated at the simulated binding function which maps the structural parameters of interest to the auxiliary parameters. We show that the alternative estimator has the same asymptotic properties as the EMM estimator but in finite samples behaves more like the distance-based indirect inference estimator of Gourieroux, Monfort and Renault (1993).
|Date of creation:||Jun 2010|
|Contact details of provider:|| Postal: Box 353330, Seattle, WA 98193-3330|
Web page: http://www.econ.washington.edu/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Eric Ghysels & Lynda Khalaf & Cosme Vodounou, 1994.
"Simulation Based Inference in Moving Average Models,"
CIRANO Working Papers
- Eric Ghysels & Lynda Khalaf & Cosmé Vodounou, 2003. "Simulation Based Inference In Moving Average Models," Annals of Economics and Statistics, GENES, issue 69, pages 85-99.
- Ghysels, E. & Khalaf, L. & Vodounou, C., 1995. "Simulation Based Inference in Moving Average Models," Cahiers de recherche 9513, Universite de Montreal, Departement de sciences economiques.
- Ghysels, E. & Khalaf, L. & Vodounou, C., 1995. "Simulation Based Inference in Moving Average Models," Cahiers de recherche 9513, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Alexander Michaelides & Serena Ng, 1997.
"Estimating the Rational Expectations Model of Speculative Storage: A Monte Carlo Comparison of Three Simulation Estimators,"
Boston College Working Papers in Economics
373, Boston College Department of Economics.
- Michaelides, Alexander & Ng, Serena, 2000. "Estimating the rational expectations model of speculative storage: A Monte Carlo comparison of three simulation estimators," Journal of Econometrics, Elsevier, vol. 96(2), pages 231-266, June.
- Alexander Michaelides & Serena Ng, 2000. "Estimating the rational expectations model of speculative storage : a Monte Carlo comparison of three simulation estimators," LSE Research Online Documents on Economics 198, London School of Economics and Political Science, LSE Library.
- Christian GouriÃƒÂ©roux & Peter C. B. Phillips & Jun Yu, 2006.
"Indirect Inference for Dynamic Panel Models,"
Development Economics Working Papers
22421, East Asian Bureau of Economic Research.
- Gregory R. Duffee, 2008. "Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(1), pages 108-142, Winter.
- Tripathi, Gautam, 2000. "Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(01), pages 139-142, February.
- Tauchen, George E. & Gallant, A. Ronald, 1995.
"Which Moments to Match,"
95-20, Duke University, Department of Economics.
- Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 63-84, Suppl. De.
- Andersen, Torben G., 2000. "Simulation-Based Econometric Methods," Econometric Theory, Cambridge University Press, vol. 16(01), pages 131-138, February.
- Gourieroux, C & Monfort, A & Renault, E, 1993.
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
- Gallant, A. Ronald & Tauchen, George, 2002. "Simulated Score Methods and Indirect Inference for Continuous-time Models," Working Papers 02-09, Duke University, Department of Economics.
- repec:adr:anecst:y:2003:i:69:p:04 is not listed on IDEAS
- Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 251-287.
When requesting a correction, please mention this item's handle: RePEc:udb:wpaper:uwec-2010-08. 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: (Michael Goldblatt)
If references are entirely missing, you can add them using this form.