A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction

DOI10.1111/ectj.12045OpenAlexW1975194301MaRDI QIDQ5091824

Antonis Demos, Stelios Arvanitis

Publication date: 27 July 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12045

zbMATH Keywords

bootstrapMonte CarloEdgeworth expansionGARCH modelmoment approximationbinding functionapproximate bias correctionhigher-order bias approximationhigher-order mean square error approximationrecursive indirect inference estimatorstationary Gaussian ARFIMA model

Mathematics Subject Classification ID

Statistics (62-XX)

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