Accurate and Robust Tests for Indirect Inference
2010, Biometrika, 97(3), pp.621-630
Abstract
In this paper we propose accurate parameter and over-identification tests for indirect inference. Under the null hypothesis the new tests are asymptotically ?2-distributed with a relative error of order n-1. They exhibit better finite sample accuracy than classical tests for indirect inference, which have the same asymptotic distribution but an absolute error of order n-1/2. Robust versions of the tests are also provided. We illustrate their accuracy in nonlinear regression, Poisson regression with overdispersion and diffusion models.