Constrained indirect inference estimation

Giorgio Calzorali, Gabriele Fiorentini and Enrique Sentana

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We also show that the asymptotic efficiency of such estimators can never decrease by explicitly taking into account Lagrange multipliers associated with additional equality constraints, regardless of whether the restrictions are correct. Furthermore, we discuss the variety of effects on efficiency that can result from imposing some constraints on the parameters of a previously unrestricted model. As examples, we consider MA(1) estimated through AR(1), AR(1) through MA(1), and stochastic volatility through GARCH with Gaussian or t distributed errors.

Keywords: Simulation estimators; GMM; Minimum distance; ARCH; Stochastic volatility (search for similar items in EconPapers)
JEL-codes: C13 C15 (search for similar items in EconPapers)
Pages: 78 pages
Date: 2001-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://eprints.lse.ac.uk/25061/ Open access version. (application/pdf)

Related works:
Working Paper: Constrained Indirect Inference Estimation (2001)
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: https://EconPapers.repec.org/RePEc:ehl:lserod:25061

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().