We analyze the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulationbased estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymmetries. In contrast to existing threshold models, these models allow taking into account the presence of asymmetric effects of current and lagged random shocks. We use them to measure the persistence of shocks to US output.

Keywords : threshold model, indirect inference, nuisance parameter.

JEL : C5, C3.