Chapter

Indirect Inference

Christian Gouriéroux and Alain Monfort

in Simulation-based Econometric Methods

Published in print January 1997 | ISBN: 9780198774754
Published online November 2003 | e-ISBN: 9780191596339 | DOI: http://dx.doi.org/10.1093/0198774753.003.0004

Series: OUP/CORE Lecture Series

 Indirect Inference

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The method of Indirect Inference, binding function, indirect information, and indirect identification are introduced. Various versions of the method of Indirect Inference are defined and their asymptotic properties are given. Some second‐order properties are also examined. Applications are proposed.

Keywords: binding function; indirect identification; Indirect Inference; indirect information; instrumental model

Chapter.  12958 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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