; ; ; "ActiveFedora::Aggregation::ListSource" . a , ; "Calibration by Simulation for Small Sample Bias Correction"; ; "batchuser@example.com"; "Touzi, Nizar", "Renault, Eric", "Gourieroux, Christian, 1949-"; "Indirect inference", "Bias correction", "Economic models", "Edgeworth correction", "Econometrics", "Bootstrap", "Simulation"; "C13 - Estimation: General", "C22 - Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes", "C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models", "C15 - Statistical Simulation Methods: General"; "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."^^; "1995-07"; "2018-03-29T18:25:54.922851266+00:00"^^; ; "2021-01-15T20:16:41.97531235+00:00"^^; "Conference Proceeding"; "790", "646", "288"; "Simulation-based inference in econometrics"; "Edgeworth correction", "Bootstrap", "Econometrics", "Indirect inference", "Bias correction", "Economic models", "Simulation"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Research Department."; ; "ConferenceProceeding" . ; .