Indirect Inference Based on the Score

24 Pages Posted: 18 Jun 2010 Last revised: 23 Jun 2010

See all articles by Peter Fuleky

Peter Fuleky

University of Hawaii Economic Research Organization

Eric Zivot

University of Washington - Department of Economics

Date Written: June 22, 2010

Abstract

The Efficient Method of Moments (EMM) estimator popularized by Gallant and Tauchen (1996) is an indirect inference estimator based on the simulated auxiliary score evaluated at the sample estimate of the auxiliary parameters. We study an alternative estimator that uses the sample auxiliary score evaluated at the simulated binding function which maps the structural parameters of interest to the auxiliary parameters. We show that the alternative estimator has the same asymptotic properties as the EMM estimator but in finite samples behaves more like the distance-based indirect inference estimator of Gourieroux, Monfort and Renault (1993).

Keywords: simulation based estimation, indirect inference, efficient method of moments

JEL Classification: C13, C15, C22

Suggested Citation

Fuleky, Peter and Zivot, Eric W., Indirect Inference Based on the Score (June 22, 2010). Available at SSRN: https://ssrn.com/abstract=1626074 or http://dx.doi.org/10.2139/ssrn.1626074

Peter Fuleky (Contact Author)

University of Hawaii Economic Research Organization ( email )

Honolulu, HI 96822
United States

Eric W. Zivot

University of Washington - Department of Economics ( email )

Box 353330
Seattle, WA 98195-3330
United States
206-543-6715 (Phone)
206-685-7477 (Fax)