CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION
Gabriele Fiorentini,
Enrique Sentana and
Giorgio Calzolari
Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
Abstract:
We develop generalised indirect inference procedures that handle equality and inequality constraints on the auxiliary model parameters. We obtain expressions for the optimal weighting matrices, and discuss as examples an MA(1) estimated as AR(1), an AR(1) estimated as MA(1), and a log-normal stochastic volatility process estimated as a GARCH(1,1) with Gaussian or t distributed errors. In the first example, the constraints have no effect, while in the second, they allow us to achieve full efficiency. As for the third, neither procedure systematically outperforms the other, but equality restricted estimators are better when the additional parameter is poorly estimated.
Pages: 65 pages
Date: 2000-11
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)
Published by Ivie
Downloads: (external link)
http://www.ivie.es/downloads/docs/wpasad/wpasad-2000-26.pdf Fisrt version / Primera version, 2000 (application/pdf)
Related works:
Working Paper: Constrained EMM and Indirect Inference Estimation (2000)
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:ivi:wpasad:2000-26
Access Statistics for this paper
More papers in Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Contact information at EDIRC.
Bibliographic data for series maintained by Departamento de Edición ().