Exact Monte Carlo Tests Applied to Models Estimated by Indirect Inference and by Eecient Method of Moments
نویسندگان
چکیده
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 allow for test statistics whose distribution depends on nuisance parameters. This technique of Monte Carlo tests is applied here to a stochastic di erential equation. Université de Montréal,CRDE CREST,CEPREMAP Université de Montréal,CRDE
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