Exact sampling from conditional Boolean models with applications to maximum likelihood inference

Supplement to “Asymptotically Exact Inference in Conditional Moment Inequality Models”

This supplementary appendix contains auxiliary results and proofs for the main paper. Section A contains a proof of Theorem 3.1 in the case where l = dY = 1, which contains the main technical ideas of the general result, but requires less notation. Section B proposes an alternative way of obtaining critical values using the asymptotic distribution results in this paper. Section C contains proof...

Supplemental to Asymptotically Exact Inference in Conditional Moment Inequality Models

Maximum Conditional Likelihood

We present the CEM (Conditional Expectation Maximization) algorithm as an extension of the EM (Expectation Maximization) algorithm to conditional density estimation under missing data. A bounding and maximization process is given to speciically optimize conditional likelihood instead of the usual joint likelihood. We apply the method to conditioned mixture models and use bounding techniques to ...

Semiparametric Maximum Likelihood Inference for Truncated or Biased-sampling Data

Sample selection bias has long been recognized in many fields including clinical trials, epidemiology studies, genome-wide association studies, and wildlife management. This paper investigates the maximum likelihood estimation for censored survival data with selection bias under the Cox regression models where the selection process is modeled parametrically. A novel expectation-maximization alg...

A Nonparametric Maximum Likelihood Estimation of Conditional Moment Restriction Models

This paper studies estimation of a conditional moment restriction model using the nonparametric maximum likelihood approach proposed by Gallant and Nychka (1987). Under some sufficient conditions, we show that the estimator of some finite dimensional parameters is asymptotically normally distributed and attains the semiparametric efficiency bound and that the estimator of the density function i...