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Indirect inference
Abstract
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).
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Citations
Cited by
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
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Martin, G. J., & Yurukoglu, A. (2017) · American Economic Review · doi:10.1257/aer.20160812 · Cited by 666
Dynamic Models and Structural Estimation in Corporate Finance
Strebulaev, I. A. (2011) · Foundations and Trends® in Finance · doi:10.1561/0500000035 · Cited by 259
Linking data to models: data regression
Jaqaman, K., & Danuser, G. (2006) · Nature Reviews Molecular Cell Biology · doi:10.1038/nrm2030 · Cited by 243
Metadata
- Authors
- Gourieroux, C., Monfort, A., & Renault, E.
- Venue
- Journal of Applied Econometrics
- Publisher
- Wiley
- Published
- 1993-12
- Volume
- 8
- Issue
- S1
- Pages
- S85-S118
- ISSN
- 0883-7252 (ISSN-L)
- 1099-1255
- OpenAlex
- W4248104870
- Cited by
- 1,034
- References
- 0
- FWCI
- 10.65
- Type
- journal article
- Language
- en
- Open access
- closed
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Cite CoChat for the checks on this page, and the paper for its own findings.
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- CoChat. (2026). Citation check: Indirect inference. https://app.cochat.ai/papers/10.1002/jae.3950080507
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- Gourieroux, C., Monfort, A., & Renault, E. (1993). Indirect inference. Journal of Applied Econometrics. https://doi.org/10.1002/jae.3950080507
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
