Barigozzi, Matteo, Halbleib-Chiriac, Roxana and Veredas, David (2012) Which model to match? The Authors. (Unpublished)
Abstract
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: | http://dx.doi.org/10.2139/ssrn.1986419 |
| Additional Information: | © 2012 The Authors |
| Uncontrolled Keywords: | indirect inference, efficient method of moments, auxiliary model, information criteria, asymptotic efficiency |
| Library of Congress subject classification: | H Social Sciences > HB Economic Theory |
| Journal of Economic Literature Classification System: | 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 |
| Sets: | Departments > Statistics |
| Rights: | http://www.lse.ac.uk/library/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/43343/ |
Actions (login required)
 |
Record administration - authorised staff only |
