English, Article, Journal or magazine article edition: Constrained Indirect Inference Estimation Gabriele Fiorentini; Enrique Sentana

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Bookmark: http://trove.nla.gov.au/version/45242
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Constrained Indirect Inference Estimation
Author
  • Gabriele Fiorentini
  • Enrique Sentana
Physical Description
  • preprint
Notes
  • 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.
  • RePEc:fmg:fmgdps:dp384
Language
  • English
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