Creator: Roberds, William. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 261 Abstract:
A method is presented for solving a certain class of hierarchical rational expectations models, principally models that arise from Stackelberg dynamic games. The method allows for numerical solution using spectral factorization algorithms, and estimation of these models using standard maximum likelihood techniques.
Keyword: Stackelberg dynamic game, Oligopoly model, and Rational expectations theory Subject (JEL): C13 - Econometric and statistical methods : General - Estimation and C73 - Game theory and bargaining theory - Stochastic and dynamic games ; Evolutionary games ; Repeated games
Creator: Saracoglu, Rusdu. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 56 Keyword: Econometric models Subject (JEL): C13 - Econometric and statistical methods : General - Estimation
Creator: Gourieroux, Christian, 1949, Renault, Eric., and Touzi, Nizar. Series: Simulation-based inference in econometrics Abstract:
This paper is interested in the small sample properties of the indirect inference procedure which has been previously studied only from an asymptotic point of view. First, we highlight the fact that the Andrews (1993) median-bias correction procedure for the autoregressive parameter of an AR(1) process is closely related to indirect inference; we prove that the counterpart of the median-bias correction for indirect inference estimator is an exact bias correction in the sense of a generalized mean. Next, assuming that the auxiliary estimator admits an Edgeworth expansion, we prove that indirect inference operates automatically a second order bias correction. The latter is a well known property of the Bootstrap estimator; we therefore provide a precise comparison between these two simulation based estimators.
Keyword: Edgeworth correction, Econometrics, Bootstrap, Bias correction, Economic models, Indirect inference, and Simulation Subject (JEL): C13 - Econometric and statistical methods : General - Estimation, C15 - Econometric and statistical methods : General - Simulation methods, C32 - Multiple or simultaneous equation models - Time-series models ; Dynamic quantile regressions, and C22 - Single equation models ; Single variables - Time-series models ; Dynamic quantile regressions