6 citations · 6 across the 2 of their papers we have counts for
5 papers
Weak Identification in Discrete Choice Models
David T. Frazier, Eric Renault, Lina Zhang +1
We study the impact of weak identification in discrete choice models, and provide insights into the determinants of identification strength in these models. Using these insights, w…
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…
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…
Indirect Inference With(Out) Constraints
David T. Frazier, Eric Renault
Indirect Inference (I-I) estimation of structural parameters {requires matching observed and simulated statistics, which are most often generated using an auxiliary model that…
Wald tests when restrictions are locally singular
Jean-Marie Dufour, Eric Renault, Victoria Zinde-Walsh
Wald-type tests are convenient because they allow one to test a wide array of linear and nonlinear restrictions from a single unrestricted estimator; we focus on the problem of imp…