Composite Indirect Inference with Application to Corporate Risks

Christian Gourieroux and Alain Monfort

No 2016-32, Working Papers from Center for Research in Economics and Statistics

Abstract: It is frequent to deal with parametric models which are di cult to analyze, due to the large number of data and/or parameters, complicated nonlinearities, or unobservable variables. The aim of this paper is to explain how to analyze such models by means of a set of simpli ed models, called instrumental models, and how to combine these instrumental models in an optimal way. In this respect our paper provides a bridge between the econometric literature on indirect inference and the statistical literature on composite likelihood. The composite indirect inference principle is illustrated by an application to the analysis of corporate risks.

Keywords: Indirect Inference; Composite Likelihood; Instrumental Model; Pseudo Maximum Likelihood; Yule-Walker Equation; Corporate Risk; Basel Regulation; Asymptotic Single Risk Factor. (search for similar items in EconPapers)
Pages: 35
Date: 2016-10
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Citations: View citations in EconPapers (2)

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Journal Article: Composite indirect inference with application to corporate risks (2018)
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