2 papers
econ.EM2020
Approximate Maximum Likelihood for Complex Structural Models
Veronika Czellar, David T. Frazier, Eric Renault
Indirect Inference (I-I) is a popular technique for estimating complex parametric models whose likelihood function is intractable, however, the statistical efficiency of I-I estima…
math.ST2019
A technical note on divergence of the Wald statistic
Jean-Marie Dufour, Eric Renault, Victoria Zinde-Walsh
The Wald test statistic has been shown to diverge (Dufour et al, 2013, 2017) under some conditions. This note links the divergence to eigenvalues of a polynomial matrix and establi…