Indirect Inference Based on the Score

Peter Fuleky and Eric Zivot ()
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Eric Zivot: Department of Economics, University of Washington

No 201109, Working Papers from University of Hawaii at Manoa, Department of Economics

Abstract: The Efficient Method of Moments (EMM) estimator popularized by Gallant and Tauchen (1996) 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 Gourieroux, Monfort and Renault (1993).

Keywords: simulation based estimation; indirect inference; efficient method of moments (search for similar items in EconPapers)
JEL-codes: C13 C15 C22 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2011-04-26
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http://www.economics.hawaii.edu/research/workingpapers/WP_11-9.pdf First version, 2011 (application/pdf)

Related works:
Journal Article: Indirect inference based on the score (2014)
Working Paper: Indirect Inference Based on the Score (2011)
Working Paper: Indirect Inference Based on the Score (2010)
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