Indirect inference requires simulating realizations of endogenous variables from the model under study. When the endogenous variables are discontinuous functions of the model parameters, the resulting indirect inference criterion function is …
Indirect Inference (I-I) estimation of structural parameters $\theta$ requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters $\beta$. The estimators of the …
We propose the use of indirect inference estimation for inference in locally stationary models. We develop a local indirect inference algorithm and establish the asymptotic properties of the proposed estimator. Due to the nonparametric nature of the …
A short discussion of my ongoing projects related to indirect inference estimation.