Publikation:

Which model to match?

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Barigozzi_290030.pdf
Barigozzi_290030.pdfGröße: 550.32 KBDownloads: 266

Datum

2015

Autor:innen

Barigozzi, Matteo
Veredas, David

Herausgeber:innen

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URI (zitierfähiger Link)
http://nbn-resolving.de/urn:nbn:de:bsz:352-290030
DOI (zitierfähiger Link)
https://doi.org/10.2139/ssrn.1986419
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Urheberrechtlich geschützt

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Open Access-Veröffentlichung
Open Access Green

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Wirtschaftswissenschaften: Publikationen
Zukunftskolleg: Publikationen
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Working Paper/Technical Report
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Published

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Zusammenfassung

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, which is somehow ad hoc and based on an educated guess. We introduce an Akaike–type class of information criteria that helps the user in this choice among nested and non–nested auxiliary models. A Monte Carlo and an empirical illustration show the usefulness of the criteria.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

auxiliary model, efficient method of moments, indirect inference, information criteria

Konferenz

Rezension
undefined / . - undefined, undefined

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ISO 690BARIGOZZI, Matteo, Roxana CHIRIAC, David VEREDAS, 2015. Which model to match?
BibTex
@techreport{Barigozzi2015Which-29003,
  year={2015},
  doi={10.2139/ssrn.1986419},
  title={Which model to match?},
  author={Barigozzi, Matteo and Chiriac, Roxana and Veredas, David}
}
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