Which model to match?

Barigozzi, Matteo; Chiriac, Roxana; Veredas, David

Which model to match?

Files

Barigozzi_290030.pdf(550.32 KB)

Date

2015

Authors

Barigozzi, Matteo

Chiriac, Roxana

Veredas, David

Publication type

Working Paper/Technical Report

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, 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.

Subject (DDC)

330 Economics

Keywords

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

Cite This

ISO 690

BARIGOZZI, Matteo, Roxana CHIRIAC, David VEREDAS, 2015. Which model to match?. Available under: doi: 10.2139/ssrn.1986419

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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