Indirect inference in structural econometric models

DOI10.1016/J.JECONOM.2009.10.027MaRDI QIDQ530980zbMATH OpenOpenAlexWikidataFDO

Authors Tong Li

Publication date 1 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2009.10.027

zbMATH Keywords

simulationauxiliary modelOLSparameter calibrationparameter-dependent support

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to economics (62P20) Auctions, bargaining, bidding and selling, and other market models (91B26)

Recommendations

• Indirect inference for dynamic panel models
• Indirect inference estimation of dynamic panel data models
• Inference in Nonlinear Econometric Models with Structural Change
• Statistical inference in non-nested econometric models
• Structural econometric models
• Indirect inference with endogenously missing exogenous variables
• Indirect inference and calibration of dynamic stochastic general equilibrium models
• Inference for identifiable parameters in partially identified econometric models
• Inference in partially identified heteroskedastic simultaneous equations models

Cites work

• An encompassing approach to conditional mean tests with applications to testing nonnested hypotheses
• Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support
• Conditionally independent private information in OCS wildcat auctions
• Deriving an estimate of the optimal reserve price: An application to British Columbian timber sales
• Econometric models of asymmetric ascending auctions
• Econometrics of First-Price Auctions
• Estimating a Market Equilibrium Search Model from Panel Data on Individuals
• Instrumental Models and Indirect Encompassing
• Likelihood Estimation and Inference in a Class of Nonregular Econometric Models
• Maximum Likelihood Estimation of a Translation Parameter of a Truncated Distribution
• Maximum likelihood estimation of translation parameter of truncated distribution. II
• New methods for analyzing structural models of labor force dynamics
• Numerical analysis of asymmetric first price auctions
• Optimal Nonparametric Estimation of First-price Auctions
• Piecewise Pseudo-Maximum Likelihood Estimation in Empirical Models of Auctions
• Superconsistent estimation and inference in structural econometric models using extreme order statistics.
• The Encompassing Principle and its Application to Testing Non-Nested Hypotheses
• The Role of Information in U.S. Offshore Oil and Gas Lease Auction

Cited in

(7)

• scientific article; zbMATH DE number 2092186 (Why is no real title available?)
• Indirect inference with a non-smooth criterion function
• Through the looking glass: indirect inference via simple equilibria
• Penalized indirect inference
• Indirect inference with endogenously missing exogenous variables
• Testing DSGE models by indirect inference: a survey of recent findings
• Indirect inference and small sample bias -- some recent results

This page was built for publication: Indirect inference in structural econometric models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q530980)