Simultaneous Indirect Inference, Impulse Responses and ARMA Models
A two-stage simulation-based framework is proposed to derive Identification Robust confidence sets by applying Indirect Inference, in the context of Autoregressive Moving Average (ARMA) processes for finite samples. Resulting objective functions are treated as test statistics, which are <i>inv...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-04-01
|
| Series: | Econometrics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2225-1146/8/2/12 |