Article first published online: 7 NOV 2006
Copyright © 1993 John Wiley & Sons, Ltd.
Journal of Applied Econometrics
Volume 8, Issue S1, pages S85–S118, December 1993
How to Cite
Gourieroux, C., Monfort, A. and Renault, E. (1993), Indirect inference. J. Appl. Econ., 8: S85–S118. doi: 10.1002/jae.3950080507
- Issue published online: 7 NOV 2006
- Article first published online: 7 NOV 2006
- Manuscript Revised: MAY 1993
- Manuscript Received: SEP 1992
In this paper we present inference methods which are based on an ‘incorrect’ criterion, in the sense that the optimization of this criterion does not directly provide a consistent estimator of the parameter of interest. Moreover, the argument of the criterion, called the auxiliary parameter, may have a larger dimension than that of the parameter of interest. A second step, based on simulations, provides a consistent and asymptotically normal estimator of the parameter of interest. Various testing procedures are also proposed. The methods described in this paper only require that the model can be simulated, therefore they should be useful for models whose complexity rules out a direct approach. Various fields of applications are suggested (microeconometrics, finance, macroeconometrics).