Calvet, Laurent E.; Czellar, Veronika - In: Journal of Econometrics 185 (2015) 2, pp. 343-358
This paper develops an indirect inference (Gourieroux et al., 1993; Smith, 1993) estimation method for a large class of dynamic equilibria. Our approach consists of constructing econometrically tractable auxiliary equilibria, obtained by simplifying the economic primitives of the structural...