This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. The authors' approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria...

Author's abstract. This paper investigates the determinants of financial risk-taking and documents new facts on the financial wealth elasticity of the risky share in a panel of swedish twins. <p>We consider a uniquely comprehensive set of demographic and financial characteristics, and use yearly...</p>

The efficient method of moments (EMM) and indirect inference (II) are two widely used simulation-based techniques for estimating structural models that have intractable likelihood functions. The poor performance in finite samples of traditional coefficient and overidentification tests based on...

This paper develops an indirect inference (Gourieroux et al., 1993; Smith, 1993) estimation method for a large class of dynamic equilibria. Our approach consists of constructing econometrically tractable auxiliary equilibria, obtained by simplifying the economic primitives of the structural...

We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it...

Indirect inference (Smith, 1993; Gouriéroux, Monfort and Renault, 1993) is a simulation-based estimation method dealing with econometric models whose likelihood function is intractable. Typical examples are diffusion models described by stochastic differential equations. A potential problem that...

We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it...

We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it...

In this paper we propose accurate parameter and over-identification tests for indirect inference. Under the null hypothesis the new tests are asymptotically χ-super-2-distributed with a relative error of order n-super- - 1. They exhibit better finite sample accuracy than classical tests for...