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.
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)|
|Additional Information:||© 2012 The Authors|
|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|
|Date Deposited:||26 Apr 2012 08:41|
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