Inference of Structural Econometric Models: A Unified Approach

Tong Li

No 196, Econometric Society 2004 North American Winter Meetings from Econometric Society

Abstract: This paper considers the parametric inference of a wide range of structural econometric models. The class of models considered includes those with parameter-dependent support and those derived from game-theoretic models. Inference of those models has raised some important econometric issues. This paper addresses these issues within a unified framework using the indirect inference principle. Such an approach not only yields easy-to-implement consistent estimators with the standard root-n asymptotic normality, but also makes inference such as hypothesis testing and model specification and selection feasible. In particular, our approach leads to a method that resembles the conventional Cowles Commission structural econometrics spirit and can be viwed as an analog to the two-stage least squares (2SLS) estimator. Monte Carlo studies and an empirical analysis of the timber sale auctions held in Oregon illustrate the usefulness and feasibility of our approach.

Keywords: Auctions; Empirical Game-theoretic Models; Indirect Inference; Job Search; Nonregular Maximum Likelihood; Parameter-Dependent Support; Two-step Estimation. (search for similar items in EconPapers)
JEL-codes: C1 C5 C7 L1 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:nawm04:196

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