Indirect inference, nuisance parameter, and threshold moving average models
A Guay, O Scaillet - Journal of Business & Economic Statistics, 2003 - Taylor & Francis
We analyze the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this …
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We analyze the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this …