We introduce the Method of Simulated Quantiles, or MSQ, an indirect inference method based on quantile matching that is … theoretical quantiles, which depend on the parameters of the assumed probability law, are matched with the sample counterparts …, which depend on the observations. Since the theoretical quantiles may not be available analytically, the optimization is …

nonparametric kernel-based estimator of the quantiles and PDF of observable bids. Our estimator attains the optimal rate of Guerre …