Semi-nonparametric indirect inference

Abstract

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A Sieve-SMM Estimator for Dynamic Models

“…A recent working paper by Bierens & Song (2017) introduces covariates in the same auction model and gives an asymptotic normality result for the coefficients θn on the covariates. 6 Additionally, an incomplete working paper by Blasques (2011) uses the high-level conditions in Chen (2007) for a "Semi-NonParametric Indirect Inference" estimator. These conditions are very difficult to verify in practice and additional results are needed to handle the dynamics.…”

A Sieve‐SMM Estimator for Dynamic Models

“…Few papers are concerned with sieve simulation‐based estimation; Bierens and Song (2012) and Newey (2001) considered specific static models. Blasques (2011) considered generic semi‐nonparametric indirect inference. The results rely on generic uniform convergence results which do not apply in the present setting because of the non‐standard dependence.…”