Robust Indirect Inference

Citations

Cited by:

1. Ronchetti, Elvezio, 2020. "Accurate and robust inference," Econometrics and Statistics, Elsevier, vol. 14(C), pages 74-88.
2. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September.
3. Eduardo Rossi & Paolo Santucci de Magistris, 2018. "Indirect inference with time series observed with error," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 874-897, September.
   • Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Indirect inference with time series observed with error," CREATES Research Papers 2014-57, Department of Economics and Business Economics, Aarhus University.
4. Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Discussion Paper 2009-25, Tilburg University, Center for Economic Research.
   • Cizek, P., 2009. "Generalized Methods of Trimmed Moments," Other publications TiSEM 46607f30-95c0-430a-8ef9-2, Tilburg University, School of Economics and Management.
5. La Vecchia, Davide & Trojani, Fabio, 2010. "Infinitesimal Robustness for Diffusions," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 703-712.
   • Davide La Vecchia & Fabio Trojani, 2008. "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008 2008-09, Department of Economics, University of St. Gallen.
6. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
7. Laurent-Emmanuel Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Working Papers hal-00625500, HAL.
   • Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," HEC Research Papers Series 947, HEC Paris.
   • Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
8. Sauer, Robert M. & Taber, Christopher, 2017. "Indirect Inference with Importance Sampling: An Application to Women's Wage Growth," IZA Discussion Papers 11004, Institute of Labor Economics (IZA).
   • Robert M. Sauer & Christopher R. Taber, 2017. "Indirect Inference with Importance Sampling: An Application to Women’s Wage Growth," NBER Working Papers 23669, National Bureau of Economic Research, Inc.
9. Xu, Yihuan & Iglewicz, Boris & Chervoneva, Inna, 2014. "Robust estimation of the parameters of g-and-h distributions, with applications to outlier detection," Computational Statistics & Data Analysis, Elsevier, vol. 75(C), pages 66-80.
10. repec:hum:wpaper:sfb649dp2006-050 is not listed on IDEAS
11. Čίžek, Pavel & Härdle, Wolfgang Karl, 2006. "Robust econometrics," SFB 649 Discussion Papers 2006-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
12. Genton, Mark G. & Ruiz-Gazen, Anne, 2009. "Visualizing Influential Observations in Dependent Data," TSE Working Papers 09-051, Toulouse School of Economics (TSE).
13. Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
14. Frank A. Cowell & Philippe Kerm, 2015. "Wealth Inequality: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(4), pages 671-710, September.
15. Bruins, Marianne & Duffy, James A. & Keane, Michael P. & Smith, Anthony A., 2018. "Generalized indirect inference for discrete choice models," Journal of Econometrics, Elsevier, vol. 205(1), pages 177-203.
    • Anthony A. Smith, Jr. & Michael Keane, 2004. "Generalized Indirect Inference for Discrete Choice Models," Econometric Society 2004 North American Winter Meetings 512, Econometric Society.
    • Marianne Bruins & James A. Duffy & Michael P. Keane & Anthony A. Smith, Jr, 2015. "Generalized Indirect Inference for Discrete Choice Models," Economics Papers 2015-W08, Economics Group, Nuffield College, University of Oxford.
16. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    • Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series 1048, HEC Paris.
    • Laurent E. Calvet & Veronika Czellar, 2014. "Through the Looking Glass: Indirect Inference via Simple Equilibria," Working Papers hal-02058272, HAL.
    • Laurent E. Calvet & Veronika Czellar, 2015. "Through the Looking Glass : Indirect Inference via Simple Equilibria," Post-Print hal-02313236, HAL.
17. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
18. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
19. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
20. Aguilar, Mike & Hill, Jonathan B., 2015. "Robust score and portmanteau tests of volatility spillover," Journal of Econometrics, Elsevier, vol. 184(1), pages 37-61.
21. Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2007. "Indirect robust estimation of the short-term interest rate process," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 546-563, September.
    • Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2005. "Indirect Robust Estimation of the Short-term interest Rate Process," FAME Research Paper Series rp135, International Center for Financial Asset Management and Engineering.
    • Czellar, Veronika & Karolyi, G. Andrew & Ronchetti, Elvezio, 2005. "Indirect Robust Estimation of the Short-term Interest Rate Process," Working Paper Series 2005-4, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    • Veronika Czellar & G. Andrew Karolyi & Elvezio Ronchetti, 2007. "Indirect robust estimation of the short-term interest rate process," Post-Print hal-00463251, HAL.
22. Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
23. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
24. P Čížek & S Sadıkoğlu, 2022. "Misclassification-robust semiparametric estimation of single-index binary-choice models [Local NLLS estimation of semi-parametric binary choice models]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 433-454.
25. Arel-Bundock, Vincent, 2013. "A solution to the weak instrument bias in 2SLS estimation: Indirect inference with stochastic approximation," Economics Letters, Elsevier, vol. 120(3), pages 495-498.
26. Loisel, Sébastien & Takane, Marina, 2009. "Fast indirect robust generalized method of moments," Computational Statistics & Data Analysis, Elsevier, vol. 53(10), pages 3571-3579, August.
27. Vanden, Joel M., 2005. "Equilibrium analysis of volatility clustering," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 374-417, June.