Using indirect inference to solve the initial-conditions problem

Review of Economics and Statistics

Volumn 82, Issue 4, 2000, Pages 656-667

  Yuying An, Mark ^a   Liu, Ming ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039592731     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465300558993     Document Type: Article

References (25)

1. An, Mark Y., "Initial Conditions Problem in Event History Analysis" (pp. 7-11), in Nicholas P. Jewell, Allan C. Kimber, Mei-Ling Ting Lee, and G. Alex Whitmore (Eds.), Lifetime Data Models in Reliability and Survival Analysis (New York: Kluwer Academic Publisher, 1996).
2. _, "A Structural Model of Labor Market Histories with Duration Dependence and Endogenous Search" (pp. 227-241), in H. Bunzel, B. J. Christensen, P. Jensen, N. M. Kiefer, and D. T. Mortensen (Eds.), Panel Data and Structural Labour Market Models (Amsterdam: Elsevier Science B.V. 2000).
3. Andersen, T. G., H. J. Chung, and B. E. Sorensen, "Efficient Method of Moments Estimation of a Stochastic Volatility Model: A Monte Carlo Study" Journal of Econometrics 91:1 (1998), 61-87.
4. Burdett, Kenneth, Nicholas M. Kiefer, Dale Mortensen, and George R. Neumann, "Earning, Unemployment, and Allocation of Time over Time," Review of Economic Studies, LI (1984), 559-578.
5. Dhaene, G., C. Gourieroux, and O. Scaillet, "Instrumental Models and Indirect Encompassing," Econometrica 66:3 (1998), 673-678.
6. Flinn, Christopher J., and James J. Heckman, "New Methods for Analyzing Structural Models of Labor Force Dynamics," Journal of Econometrics 18:1 (1982), 115-168.
7. Gallant, A. Ronald, and George E. Tauchen, "Which Moment to Match?" Econometric Theory 12:4 (1996), 657-681.
8. _, "Reprojection Partially Observed Systems with Applications to Interest Rate Diffusions," Journal of the American Statistical Association 93:441 (1997), 10-24.
9. Gourieroux, Christian, and Alan Monfort, Simulation-Based Econometric Methods (New York: Oxford University Press, 1996).
10. Gourieroux, Christian, Alan Monfort, and Eric Renault, "Indirect Inference," Journal of Applied Econometrics 8 (1993), S85-S118.
11. Ham, John C., and Robert J. LaLonde, "The Effect of Sample Selection and Initial Conditions in Duration Models: Evidence from Experimental Data on Training," Econometrica 64:1 (1996), 175-205.
12. Hansen, Lars P., "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica 50:4 (1982), 1029-1054.
13. Heckman, James, J. "The Incidental Parameters Problem and the Problem of Initial Conditions in Estimating a Discrete Time-Discrete Data Stochastic Process," in C. Manski and D. McFadden (Eds.), Structural Analysis of Discrete Data (Cambridge, MA: MIT Press, 1981).
14. Heckman, James J., and Burton Singer, "Econometric Duration Analysis," Journal of Econometrics 24:1-2 (1984), 63-112.
15. _, "Econometric Analysis of Longitudinal Data" (pp. 1917-1978), in Z. Griliches and M. D. Intriligator (Eds.), Handbook of Econometrics, vol. III (Amsterdam: North-Holland, 1986).
16. Imbens, Guido G., "Transition Models in a Non-Stationary Environment," this REVIEW LXXVI:4 (1994), 703-720.
17. Keane, Michael, and Robert Moffitt, "A Structural Model of Multiple Welfare Program Participation and Labor Supply," International Economic Review 39:3 (1995), 553-589.
18. Kamionka, Thierry, "Simulated Maximum Likelihood Estimation in Transition Models," The Econometrics Journal, Vol. 1 conference issue (1998), C129-153.
19. Lancaster, Tony, The Econometric Analysis of Transition Data (New York: Cambridge University Press, 1990).
20. Magnac, Thierry, J.-M. Robin, and M. Visser, "Analyzing Incomplete individual Employment Histories Using Indirect Inference," Journal of Applied Econometrics 10 (1995), S153-S169.
21. McCall, Brian, "Occupational Matching: A Test of Sorts," Journal of Political Economy 98:1 (1990), 45-69.
22. Nickell, Stephen, "Estimating the Probability of Leaving Unemployment," Econometrica 47:5 (1979), 1249-1266.
23. Olsen, R., D. Smith, and G. Farkas, "Structural and Reduced-form Models of Structural Choice Among Discrete Alternatives in Continuous Time," Econometrica 54:2 (1986), 375-394.
24. Ondrich, Jan I., "The Initial Conditions Problem in Work History Data," this REVIEW 67:3 (1985), 411-421.
25. Smith, Anthony, "Estimating Nonlinear Time Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics 8 (1993), S63-84.