Using Indirect Inference to Solve the Initial-Conditions Problem
针对劳动市场转型分析中的初始条件问题，提出一种基于间接推断的一致估计量，并证明其一致性和渐近正态性，通过蒙特卡洛实验和实际数据验证其小样本表现。
In this paper, we study the initial-conditions problem, a complication associated with left-censored or interrupted spells in the econometric analysis of labor market transitions. In the presence of unobserved individual-specific heterogeneity, no consistent estimators have been previously constructed. This paper proposes such an estimator using indirect inference (II). The II procedure simulates the structural model and "matches" the simulated data with the actual data via the implementation of an informative auxiliary model. Consistency and asymptotic normality of the II estimator are proved. Monte Carlo experiments as well as a real data set are used to illustrate the small-sample performance of the II estimator. These results show that the II estimator is insensitive to the alternative auxiliary models chosen for the II estimation. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology