Simultaneous indirect inference, impulse responses and ARMA models
L Khalaf, B Peraza López - Econometrics, 2020 - mdpi.com
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 (…
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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 (…