Συλλογές
Τίτλος Indirect Inference
Δημιουργός Chatzilena, Anastasia
Συντελεστής Arvanitis, Stelios
Athens University of Economics and Business, Department of Economics
Τύπος Text
Φυσική περιγραφή 78p.
Γλώσσα en
Περίληψη The purpose of this master's thesis is to present the Indirect Inference principal in the scope of the analysis of three basic Indirect Inference Estimators, as they appear in the relevant bibliografiic references, and some of their asymptotic and finite sample properties. The study illustrates the framework with the example of estimation of the MA(1) parameter when AR(1) is considered as the auxiliary model and least squares forms the auxiliary criterion. In this context, the already defined estimators are derived and some other ones directly connected with bias correction procedures as the bootstrap and the median estimation, are presented. Finally, a MATLAB simulation study iscarried out in order to highlight the approach along with the essential toolbox.
Λέξη κλειδί Indirect Inference
Optimization estimators
MatLab
Ημερομηνία 30-06-2013
Άδεια χρήσης https://creativecommons.org/licenses/by/4.0/