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arXiv · 0908.0433

Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference

Richard Nickl·Benedikt M. Pötscher
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Abstract

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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Richard Nickl, Benedikt M. Pötscher. 2009-08-04. Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference. https://arxiv.org/abs/0908.0433

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