Skip to main content
Article thumbnail
Location of Repository

Semi-parametric indirect inference

By Ramdan Dridi and Eric Renault

Abstract

We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). We introduce a new notion of Partial Encompassing which lays the emphasis on Pseudo True Values of Interest. The main difference with the older notion of encompassing is that some components of the pseudo-true value of interest associated with the structural parameters do correspond to true unknown values. This enables us to produce a theory of robust estimation despite mis-specifications in the structural model being used as a simulator. We also provide the asymptotic probability distributions of our SII estimators as well as Wald Encompassing Tests (WET) and advocate the use of Hausman type tests on the required assumptions for the consistency of the SII estimators. We illustrate our theory with examples based on semi-parametric stochastic volatility models

Topics: HB Economic Theory
Publisher: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Year: 2000
OAI identifier: oai:eprints.lse.ac.uk:6864
Provided by: LSE Research Online

Suggested articles


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.