The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating …
Approximate Bayesian Computation (ABC) has become increasingly prominent as a method for conducting parameter inference in a range of challenging statistical problems, most notably those characterized by an intractable likelihood function. In this …
A computationally simple approach to inference in state space models is proposed, using approximate Bayesian computation (ABC). ABC avoids evaluation of an intractable likelihood by matching summary statistics for the observed data with statistics …
Approximate Bayesian computation allows for statistical analysis using models with intractable likelihoods. In this paper we consider the asymptotic behaviour of the posterior distribution obtained by this method. We give general results on the rate …
We consider consistent estimation of parameters in a structural model by Indirect Inference (II) when the exogenous variables can be missing at random (MAR) endogenously. We demonstrate that II procedures that simply discard sample units with missing …
We propose a new iterative estimation algorithm for use in semiparametric models where calculation of Z-estimators by conventional means is difficult or impossible. Unlike a Newton–Raphson approach, which makes use of the entire Hessian, this …
The standard description of two-step extremum estimation amounts to plugging-in a first-step estimator of nuisance parameters to simplify the optimization problem and then deducing a user friendly, but potentially inefficient, estimator for the …
This paper revisits the puzzling time series relation between risk premium and conditional volatility by proposing a flexible risk-return trade-off that allows for a variety of possible shapes and incorporates potential nonlinearities inherent in …