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Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference

Nickl, Richard and Pötscher, Benedikt M. (2009): Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference.

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Abstract

Given a random sample from a parametric model, we show how indirect inference estimators based on appropriate nonparametric density estimators (i.e., simulation-based minimum distance estimators) can be constructed that, under mild assumptions, are asymptotically normal with variance-covarince matrix equal to the Cramér-Rao bound.

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