Generalized indirect inference for discrete choice models
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2018.03.010
Abstract: This paper develops and implements a practical simulation-based method for estimating dynamic discrete choice models. The method, which can accommodate lagged dependent variables, serially correlated errors, unobserved variables, and many alternatives, builds on the ideas… read more here.
Keywords: indirect inference; choice models; model; choice ... See more keywords
Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.04.023
Abstract: Abstract Persistence and mean-nonstationarity often undermine reliability of asymptotically justified inference in dynamic panels. We combine the Monte Carlo test (MCT) and the indirect inference estimation (IIE) principles to construct confidence regions for autoregressive panel… read more here.
Keywords: inference; two stage; indirect inference; monte carlo ... See more keywords
Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach
Sign Up to like & getrecommendations! Published in 2019 at "Quantitative Finance"
DOI: 10.1080/14697688.2019.1580762
Abstract: The g-and-h distribution is able to handle well the complex behavior of loss data and applied to operational losses suggests that indirect inference estimators of VaR outperform quantile-based estimators read more here.
Keywords: value risk; indirect inference; estimating value; risk distribution ... See more keywords