Robust Indirect Inference

DOI10.1198/016214503388619102MaRDI QIDQ4468524zbMATH OpenOpenAlexFDO

Authors Marc G. Genton, Elvezio Ronchetti

Publication date 10 June 2004

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/016214503388619102

zbMATH Keywords

correlated observationsinfluence functionrobustness of efficiencyrobustness of validityspace-time autoregressionstochastic differential equations

Mathematics Subject Classification ID

Brownian motion (60J65) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

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• A solution to the weak instrument bias in 2SLS estimation: indirect inference with stochastic approximation
• The indirect method: inference based on intermediate statistics -- a synthesis and examples
• Robust efficient method of moments
• Robust GMM tests for structural breaks
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• Generalized linear factor models: a new local EM estimation algorithm
• Robust score and portmanteau tests of volatility spillover
• Econometrics exams and round numbers: Use or misuse of indirect estimation methods?
• A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model
• Simulation-based bias correction methods for complex models
• Dynamic wage and employment effects of elder parent care
• Infinitesimal robustness for diffusions
• Robust efficient method of moments estimation
• Some Applications of Indirect Inference to Longitudinal and Repeated Events Data
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Identification-Robust Inference With Simulation-Based Pseudo-Matching
• \textit{Quantile least squares:} a flexible approach for robust estimation and validation of location-scale families
• Uncovering asset market participation from household consumption and income
• Fast indirect robust generalized method of moments
• Wavelet-Variance-Based Estimation for Composite Stochastic Processes

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