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Which model to match?

Barigozzi, Matteo, Halbleib-Chiriac, Roxana and Veredas, David (2012) Which model to match? Working paper (4). European Center for Advanced Research in Economics and Statistics, Bruxelles, Belgium.

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The asymptotic efficiency of indirect estimation methods, such as the efficient method of moments and indirect inference, depends on the choice of the auxiliary model. Up to date, this choice is somehow ad hoc and based on an educated guess of the researcher. In this article we introduce three information criteria that help the user to optimize the choice among nested and non--nested auxiliary models. They are the indirect analogues of the widely used Akaike, Bayesian and Hannan-Quinn criteria. A thorough Monte Carlo study based on two simple and illustrative models shows the usefulness of the criteria.

Item Type: Monograph (Working Paper)
Official URL:
Additional Information: © 2012 The Authors
Divisions: Statistics
Subjects: 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 > C5 - Econometric Modeling > C52 - Model Evaluation and Selection
Date Deposited: 26 Apr 2012 08:41
Last Modified: 18 Dec 2020 00:50

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