Indirect inference in structural econometric models

Using indirect inference for structural estimation of agent-based models: An Application To a Model of Innovation Diffusion

This paper focuses on the structural estimation of agent based models. After presenting and discussing the econometric methodology we use, we provide an example of the structural estimation of an agent-based model of innovation diffusion.

Exact Monte Carlo Tests Applied to Models Estimated by Indirect Inference and by Eecient Method of Moments

The aim of this paper is to provide exact inference in nite sample for econometric models whose likelihood function is intractable and require thereby simulation-based estimation method like Indirect Inference Method or E cient Method of Moments. To do so, we resort to the technique of Monte Carlo Tests which naturally applies to any simulable model. In particular, maximized Monte Carlo tests a...

Inference in Nonlinear Econometric Models with Structural Change

The zero-information-limit condition and spurious inference in weakly identified models

In many econometric models the asymptotic variance of a parameter estimate depends on the value of another structural parameter in such a way that the data contain little information about the former when the latter is close to a critical value. This paper introduces the zero-information-limitcondition (ZILC) to identify such models where ‘weak identification’ leads to spurious inference. We fi...

A Reduced Form Representation for State Space Models

Estimating structural state space models with maximum likelihood is often infeasible. If the model can be expressed as a reduced form vector-autoregression (VAR) in the observable data, then two step techniques such as minimum chi-square estimation can reliably recover structural parameter estimates. However, macroeconomists cannot always rely on the existence of a VAR reduced form – as is ofte...