Cookies?
Library Header Image
LSE Research Online LSE Library Services

Constrained indirect inference estimation

Calzorali, Giorgio, Fiorentini, Gabriele and Sentana, Enrique (2001) Constrained indirect inference estimation. Financial Markets Group Discussion Papers (384). Financial Markets Group, The London School of Economics and Political Science, London, UK.

[img]
Preview
PDF - Published Version
Download (652kB) | Preview

Abstract

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.

Item Type: Monograph (Discussion Paper)
Official URL: https://www.fmg.ac.uk/
Additional Information: © 2001 The Authors
Divisions: Financial Markets Group
Subjects: H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods
Date Deposited: 28 Aug 2009 14:32
Last Modified: 31 Oct 2022 16:45
URI: http://eprints.lse.ac.uk/id/eprint/25061

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics