Czellar, Veronika; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2008
Indirect inference (Smith, 1993; Gouriéroux, Monfort and Renault, 1993) is a simulation-based estimation method dealing with econometric models whose likelihood function is intractable. Typical examples are diffusion models described by stochastic differential equations. A potential problem that...