Accurate and robust tests for indirect inference

Veronika Czellar and Elvezio Ronchetti

Biometrika, 2010, vol. 97, issue 3, 621-630

Abstract: In this paper we propose accurate parameter and over-identification tests for indirect inference. Under the null hypothesis the new tests are asymptotically χ-super-2-distributed with a relative error of order n-super- - 1. They exhibit better finite sample accuracy than classical tests for indirect inference, which have the same asymptotic distribution but an absolute error of order n-super- - 1-2. Robust versions of the tests are also provided. We illustrate their accuracy in nonlinear regression, Poisson regression with overdispersion and diffusion models. Copyright 2010, Oxford University Press.

Date: 2010
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