Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models
Bibliographic Data
| ID | 19418967 |
|---|---|
| Authors | Alain Guay (Université du Québec à Montréal), Olivier Scaillet (0000-0002-3948-6891, HES-SO Genève) |
| Year | 2003 |
| Volume | 21 |
| Issue | 1 |
| Pages | 122-132 |
| Publication date | 2003-01-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/073500102288618829 |
| OpenAlex | W2033929181 |
| Language | EN |
| Citations received | 2 |
| References cited | 23 |
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 simulation-based estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymmetries. In contrast to existing threshold models, these models allow taking into account the presence of asymmetric effects of current and lagged random shocks. We use them to measure the persistence of shocks to U.S. output
Econometrics · Economics · Indirect Inference · Inference · Nuisance · Nuisance parameter · Null hypothesis · Statistics · Threshold model · Computer Science · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
| Unique citing works | 2 |
|---|---|
| Citations per year | 0.13 |
| Citation span | 2010 - 2023 (14) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 2 |