1993/12/01 by Christian Gouriéroux, C. Gourieroux, A. Monfort +3 · 3 citations
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Monetary Policy and Economic Impact
paper · doi:10.1002/jae.3950080507
openalex publication_date 1993/12/01 · openalex created_date 2022/05/12 · openalex updated_date 2026/08/04
In this paper we present inference methods which are based on an ‘incorrect’ criterion, in the sense that the optimization of this criterion does not directly provide a consistent estimator of the parameter of interest. Moreover, the argument of the criterion, called the auxiliary parameter, may have a larger dimension than that of the parameter of interest. A second step, based on simulations, provides a consistent and asymptotically normal estimator of the parameter of interest. Various testing procedures are also proposed. The methods described in this paper only require that the model can be simulated, therefore they should be useful for models whose complexity rules out a direct approach. Various fields of applications are suggested (microeconometrics, finance, macroeconometrics).