@techreport{f2a425a30c63482c946944484069aa8c,
title = "GMM and Indirect Inference - an appraisal of their connections and new results on their properties under second order identification",
abstract = "This paper makes two contributions. First, we provide a review of the similarities and difference between Generalized Method of Moments and Indirect Inference, focusing particularly on issues of moment selection, identification failure and model misspecification. Secondly, we provide new results on the limiting behaviour of GMM and II estimators when first order identification fails but the parameters are second order identified.",
keywords = "Indirect Inference, generalized Method of Moments, simulation methods",
author = "Prosper Dovonon and Hall, {Alastair R.}",
year = "2015",
month = jan,
language = "English",
series = "Economics discussion paper series",
publisher = "University fo Manchester",
number = "EDP-1505",
type = "WorkingPaper",
institution = "University fo Manchester",
}