Indirect inference based on the score

Peter Fuleky and Eric Zivot

Econometrics Journal, 2014, vol. 17, issue 3, 383-393

Abstract: The efficient method of moments (EMM) estimator is an indirect inference estimator based on the simulated auxiliary score evaluated at the sample estimate of the auxiliary parameters. We study an alternative estimator that uses the sample auxiliary score evaluated at the simulated binding function, which maps the structural parameters of interest to the auxiliary parameters. We show that the alternative estimator has the same asymptotic properties as the EMM estimator but in finite samples behaves more like the distance‐based indirect inference estimator of Gouriéroux et al.

Date: 2014
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Citations: View citations in EconPapers (2)

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http://hdl.handle.net/10.1111/ectj.12028

Related works:
Working Paper: Indirect Inference Based on the Score (2011)
Working Paper: Indirect Inference Based on the Score (2011)
Working Paper: Indirect Inference Based on the Score (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:emjrnl:v:17:y:2014:i:3:p:383-393

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