Constrained Indirect Estimation
By Giorgio Calzolari, Gabriele Fiorentini, Enrique Sentana. 2004
58 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/aff42949091c8aa5635a6490e51dbf3a272703e8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Jean-Pierre Florens
- M. Carrasco
- J. Mencía
- Enrique Sentana
- Léopold Simar
- Nathan Kallus
- Masatoshi Uehara
- Xiaohong Chen
In Finance
- J. Mencía
- Jean-Pierre Florens
- M. Carrasco
- Enrique Sentana
- Christian Hansen
- Rafael Repullo
- Monica Martinez-Bravo
- S. Chen
In Statistics and Probability
- M. Carrasco
- Jean-Pierre Florens
- J. Mencía
- Enrique Sentana
- Juan-Carlos Escanciano
- Arthur Lewbel
- Xiaohong Chen
- Nathan Kallus
Citations in the corpus
- Estimation of Stable Distributions by Indirect Inference (2011, unknown): “Because of the numerical difficulties associated with maximum likelihood estimation, we will not use it in this paper.(9) However, the results of DuMouchel (1973) are important for two reasons.”
- ON THE ASYMPTOTIC EFFICIENCY OF GMM (2013, background): “Calzolari, Fiorentini, and Sentana (2004) give a condition for the efficiency of the constrained indirect inference estimator in the case where the (finitely many) moment functions are not necessarily m.d.s.s.”
- Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations (2009, methodology): “…empirical relevance of asymmetric deviations with time varying features, such as the ones mentioned in Appendix A. Finally, one could use the test statistics that we have derived to improve the efficiency of indirect estimators along the lines suggested by Calzolari, Fiorentini, and Sentana (2004).”