Since finishing my PhD I've been working on and off on a classical estimation procedure that uses simulation instead of likelihood evaluation. In this post, I'm going to give a brief overview of this approach, coinded Indirect Inferece (I-I). Stay tuned.
Indirect Inference Estimation and Testing
Image credit: John Moeses Bauan
David T. Frazier
DECRA Fellow and Associate Professor in Econometrics and Statistics
My research interests include simulation-based statistical theory and inference, approximate Bayesian analysis, forecasting and scoring rules.