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Indirect inference in structural econometric models

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  • Li, Tong

Abstract

This paper considers parametric inference in a wide range of structural econometric models. It illustrates how the indirect inference principle can be used in the inference of these models. Specifically, we show that an ordinary least squares (OLS) estimation can be used as an auxiliary model, which leads to a method that is similar in spirit to a two-stage least squares (2SLS) estimator. Monte Carlo studies and an empirical analysis of timber sale auctions held in Oregon illustrate the usefulness and feasibility of our approach.

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  • Li, Tong, 2010. "Indirect inference in structural econometric models," Journal of Econometrics, Elsevier, vol. 157(1), pages 120-128, July.
    • Handle: RePEc:eee:econom:v:157:y:2010:i:1:p:120-128
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    3. Sundström, David, 2016. "The Competition Effect in a Public Procurement Model: An error-in-variables approach," Umeå Economic Studies 920, Umeå University, Department of Economics, revised 17 Jun 2016.
    4. Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona School of Economics.
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    7. Frazier, David T. & Oka, Tatsushi & Zhu, Dan, 2019. "Indirect inference with a non-smooth criterion function," Journal of Econometrics, Elsevier, vol. 212(2), pages 623-645.
    8. Tong Li & Bingyu Zhang, 2015. "Affiliation and Entry in First-Price Auctions with Heterogeneous Bidders: An Analysis of Merger Effects," American Economic Journal: Microeconomics, American Economic Association, vol. 7(2), pages 188-214, May.
    9. Christophe Gouel & Nicolas Legrand, 2022. "The Role of Storage in Commodity Markets: Indirect Inference Based on Grains Data," Working Papers 2022-04, CEPII research center.
    10. Maican, Florin & Orth, Matilda, 2021. "Entry Regulations and Product Variety in Retail," CEPR Discussion Papers 15992, C.E.P.R. Discussion Papers.
    11. Sundström, David, 2016. "A Comparison of Techniques to Evaluate Policies in Public Procurement," Umeå Economic Studies 928, Umeå University, Department of Economics, revised 17 Jun 2016.
    12. Fatih Guvenen & Anthony A. Smith, 2014. "Inferring Labor Income Risk and Partial Insurance From Economic Choices," Econometrica, Econometric Society, vol. 82, pages 2085-2129, November.
    13. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    14. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    15. Christis Katsouris, 2023. "Optimal Estimation Methodologies for Panel Data Regression Models," Papers 2311.03471, arXiv.org, revised Nov 2023.
    16. Chaudhuri, Saraswata & Frazier, David T. & Renault, Eric, 2018. "Indirect Inference with endogenously missing exogenous variables," Journal of Econometrics, Elsevier, vol. 205(1), pages 55-75.

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