Indirect inference estimation
01 June 2012
Indirect inference is a method to estimate parameters of models where the estimation criterion is difficult or impossible to evaluate directly. The method works by estimating parameters of a set of simpler models. These parameters are then linked to the parameters of interest of the original model. Typically this procedure is computationally intensive. We show how mathematical programming and computational advances that were recently introduced in another area of economics can be applied to indirect inference estimation and assess its performance.