A Nonparametric Maximum Likelihood Estimation of Conditional Moment Restriction Models
نویسنده
چکیده
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 is consistent. The asymptotic distribution of smooth functionals of the estimated density is also derived. An easy to compute covariance estimator is presented.
منابع مشابه
DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND Moment Restriction-based Econometric Methods: An Overview
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