Gourieroux, C.; Renault, E.; Touzi, N. - Groupe de Recherche en Économie Mathématique et … - 1996
This paper is interested in small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews(1993) median-bias correction procedure for autoregresssive parameter of an AR(1) process...