文章基本信息

标题：Semi-Parametric Indirect Inference
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作者：Ramdan Dridi ; Eric Renault
期刊名称：Econometrics Publications
印刷版ISSN：0969-4366
出版年度：2000
出版社：Suntory Toyota International Centre for Economics and Related Disciplines
摘要：We develop in this paper a generalization of the Indirect Inference (II) to semi-parametric settings and termed Semi-parametric Indirect Inference (SII). Weintroduce a new notion of Partial Encompassing which lays the emphasis onPseudo True Values of Interest. The main difference with the older notion ofencompassing is that some components of the pseudo-true value of interestassociated with the structural parameters do correspond to true unknownvalues. This enables us to produce a theory of robust estimation despite mis-specifications in the structural model being used as a simulator. We alsoprovide the asymptotic probability distributions of our SII estimators as well asWald Encompassing Tests (WET) and advocate the use of Hausman typetests on the required assumptions for the consistency of the SII estimators.We illustrate our theory with examples based on semi-parametric stochasticvolatility models
关键词：Indirect inference; partial encompassing; pseudo-true value of;interest; structural models; instrumental models; Wald encompassing tests