Economics at your fingertips  

Constrained Indirect Estimation

Giorgio Calzolari, Gabriele Fiorentini () and Enrique Sentana ()

Review of Economic Studies, 2004, vol. 71, issue 4, 945-973

Abstract: We develop generalized indirect estimation procedures that handle equality and inequality constraints on the auxiliary model parameters by extracting information from the relevant multipliers, and compare their asymptotic efficiency to maximum likelihood. We also show that, regardless of the validity of the restrictions, the asymptotic efficiency of such estimators can never decrease by explicitly considering the multipliers associated with additional equality constraints. Furthermore, we discuss the variety of effects on efficiency that can result from imposing constraints on a previously unrestricted model. As an example, we consider a stochastic volatility process estimated through a garch model with Gaussian or t distributed errors. Copyright 2004, Wiley-Blackwell.

Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (59) Track citations by RSS feed

Downloads: (external link) (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Review of Economic Studies is currently edited by Thomas Chaney, Andrea Galeotti, Bård Harstad, Nir Jaimovich, Kurt Mitman, Francesca Molinari, Katrine Loken and Elias Papaioannou

More articles in Review of Economic Studies from Oxford University Press
Bibliographic data for series maintained by Oxford University Press ().

Page updated 2022-09-07
Handle: RePEc:oup:restud:v:71:y:2004:i:4:p:945-973