英文标题：
《Indirect Inference with a Non-Smooth Criterion Function》
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作者：
David T. Frazier, Tatsushi Oka and Dan Zhu
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最新提交年份：
2019
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英文摘要：
Indirect inference requires simulating realisations of endogenous variables from the model under study. When the endogenous variables are discontinuous functions of the model parameters, the resulting indirect inference criterion function is discontinuous and does not permit the use of derivative-based optimisation routines. Using a change of variables technique, we propose a novel simulation algorithm that alleviates the discontinuities inherent in such indirect inference criterion functions, and permits the application of derivative-based optimisation routines to estimate the unknown model parameters. Unlike competing approaches, this approach does not rely on kernel smoothing or bandwidth parameters. Several Monte Carlo examples that have featured in the literature on indirect inference with discontinuous outcomes illustrate the approach, and demonstrate the superior performance of this approach over existing alternatives.
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中文摘要：
间接推理需要模拟所研究模型中内生变量的实现。当内生变量是模型参数的不连续函数时，产生的间接推理标准函数是不连续的，不允许使用基于导数的优化例程。利用变量变化技术，我们提出了一种新的模拟算法，该算法可以缓解此类间接推理准则函数固有的不连续性，并允许应用基于导数的优化例程来估计未知模型参数。与其他方法不同，这种方法不依赖于核平滑或带宽参数。文献中关于不连续结果间接推理的几个蒙特卡罗例子说明了该方法，并证明了该方法优于现有备选方法。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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一级分类：Statistics 统计学
二级分类：Computation 计算
分类描述：Algorithms, Simulation, Visualization
算法、模拟、可视化
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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