AdvancedEconometrics_Simulation

Advanced Econometrics : Simulation of Indirect Inference applied to dynamic panel model, Gourieroux et al.(2010) This repository contains all the code for our Project of Advanced Econometrics. The project dealt with Indirect Inference applied to Dynamic panel model.

In brief, the scripts include code that:

1. Generate many DGPs

2. Compute the ML estimator

3. Compute the GMM estimator

4. Compute the Indirect Inference estimator