Accurate and robust tests for indirect inference

Abstract

In this paper we propose accurate parameter and over-identification tests for indirect inference. Under the null hypothesis the new tests are asymptotically χ 2 -distributed with a relative error of order n −1 . They exhibit better finite sample accuracy than classical tests for indirect inference, which have the same asymptotic distribution but an absolute error of order n −1/2 . Robust versions of the tests are also provided. We illustrate their accuracy in nonlinear regression, Poisson regression with overdispersion and diffusion models.