## Which model to match?

2015
##### Authors
Barigozzi, Matteo
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.
330 Economics
##### Keywords
auxiliary model,efficient method of moments,indirect inference,information criteria
##### Cite This
ISO 690BARIGOZZI, 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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Yes