Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference

Details Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference

2009-08-04

arxiv.org/abs/0908.0433v2

Mathematical Methods of Statistics 19 (2010), 327-364

Mathematics

Statistics Theory

Minor revision, some references and remarks added

Scientific paper

Given a random sample from a parametric model, we show how indirect inference
estimators based on appropriate nonparametric density estimators (i.e.,
simulation-based minimum distance estimators) can be constructed that, under
mild assumptions, are asymptotically normal with variance-covarince matrix
equal to the Cramer-Rao bound.

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