A maximum likelihood estimator for models containing nuisance parameters is proposed. The estimator is shown to be asymptotically normal and attain the semiparametric efficiency bounds for a number of important econometric models. The idea is to find a parametric model that passes through the true model. The score for the parametric model is then estimated nonparametrically and the estimator is obtained by setting the estimated score to zero.
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Article provided by Econometric Society in its journal Econometrica.
Volume (Year): 65 (1997) Issue (Month): 4 (July) Pages: 933-964 Download reference. The following formats are available: HTML
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Bo Honore & Aureo de Paula, 2008.
"Interdependent Durations,"
PIER Working Paper Archive
08-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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