Indirect inference in structural econometric models.
Indirect inference in structural econometric models.
复制标题
结构计量经济学模型中的间接推断。
DOI：
10.1016/j.jeconom.2009.10.027
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发表时间：
2010
影响因子：
6.3
通讯作者：
Tong Li
中科院分区：
文献类型：
--
作者：
Tong Li
本文考虑了各种结构计量经济学模型中的参数推理。它说明了如何在这些模型的推理中使用间接推理原理。具体来说，我们表明普通最小二乘（OLS）估计可以用作辅助模型，这导致了一种在精神上类似于两阶段最小二乘（2SLS）估计器的方法。蒙特卡洛研究和对俄勒冈州举行的木材拍卖的实证分析说明了我们方法的有用性和可行性。
This paper considers parametric inference in a wide range of structural econometric models. It illustrates how the indirect inference principle can be used in the inference of these models. Specifically, we show that an ordinary least squares (OLS) estimation can be used as an auxiliary model, which leads to a method that is similar in spirit to a two-stage least squares (2SLS) estimator. Monte Carlo studies and an empirical analysis of timber sale auctions held in Oregon illustrate the usefulness and feasibility of our approach.