Which model to match?

Matteo Barigozzi (), Roxana Halbleib () and David Veredas
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Matteo Barigozzi: London School of Economics

No 1229, Working Papers from Banco de España

Abstract: The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. To date, this choice has been somewhat ad hoc and based on an educated guess. In this article we introduce a class of information criteria that helps the user to optimize the choice between nested and non–nested auxiliary models. They are the indirect analogues of the widely used Akaike–type criteria. A thorough Monte Carlo study based on two simple and illustrative models shows the usefulness of the criteria.

Keywords: Indirect inference; efficient method of moments; auxiliary model; information criteria; asymptotic efficiency (search for similar items in EconPapers)
JEL-codes: C13 C52 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2012-08
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:bde:wpaper:1229

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