Calibration by simulation for small sample bias correction Public Deposited

Creator Series Keyword Subject 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.
Corporate Author
  • Federal Reserve Bank of Minneapolis. Research Department.
Date Created
  • 1995-07
Date Modified
  • 04/09/2018
Resource type


In Collection:
Last modified

Downloadable Content

Download PDF

Zipped Files

Download a zip file that contains all the files in this work.