The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating equations. In contrast to this standard...

The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the identifying information about the structural parameters of interest, are obtained from some recently identified vector of estimating equations. In contrast to this standard...

We consider nonlinear moment restriction semiparametric models where both the dimension of the parameter vector and the number of restrictions are divergent with sample size and an unknown smooth function is involved. We propose an estimation method based on the sieve generalized method of...