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Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics
Roxana Halbleib, Dennis Kristensen, Eric Renault, David Veredas

A two-step indirect inference approach to estimate the long-run risk asset pricing model
Joachim Grammig, Eva-Maria Küchlin

Penalized indirect inference
Francisco Blasques, Artem Duplinskiy

Indirect Inference with endogenously missing exogenous variables
Saraswata Chaudhuri, David T. Frazier, Eric Renault

The asymptotic properties of GMM and indirect inference under second-order identification
Prosper Dovonon, Alastair R. Hall

The ABC of simulation estimation with auxiliary statistics
Jean-Jacques Forneron, Serena Ng

Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
A. Ronald Gallant, George Tauchen

New distribution theory for the estimation of structural break point in mean
Liang Jiang, Xiaohu Wang, Jun Yu

Generalized indirect inference for discrete choice models
Marianne Bruins, James A. Duffy, Michael P. Keane, Anthony A. Smith

Exit dynamics of start-up firms: Structural estimation using indirect inference
Rolf Golombek, Arvid Raknerud

Misspecification of noncausal order in autoregressive processes
Christian Gourieroux, Joann Jasiak

A spectral EM algorithm for dynamic factor models
Gabriele Fiorentini, Alessandro Galesi, Enrique Sentana

Estimating stable latent factor models by indirect inference
Giorgio Calzolari, Roxana Halbleib

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