Efficient simulation-based minimum distance estimation and indirect inference |
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Authors: | R Nickl B M Pötscher |
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Institution: | 1.Statist. Laboratory,Univ. of Cambridge,Cambridge,UK;2.Dept. of Statist.,Univ. of Vienna,Vienna,Austria |
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Abstract: | Given a random sample from a parametric model, we show how indirect inference estimators based on appropriate nonparametric
density estimators (i.e., simulation-based minimum distance estimators) can be constructed that, under mild assumptions, are
asymptotically normal with variance-covariance matrix equal to the Cramér-Rao bound. |
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Keywords: | |
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