Indirect Inference (I‐I) estimation of structural parameters θ requires matching observed and simulated statistics, which are most often generated using an auxiliary model that depends on instrumental parameters β. The estimators of the instrumental parameters will...

We derive asymptotic properties of estimators and test statistics to determine—in a grouped data setting—common versus group‐specific factors. Despite the fact that our test statistic for the number of common factors, under the null, involves a parameter at the boundary (related to unit...

We develop a class of ARCH models for series sampled at unequal time intervals set by trade orquote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed byDrost and Nijman (1993) and Drost and Werker (1996), and the autoregressive conditional duration...