Seminonparametric Maximum Likelihood Estimation Of Conditional Moment Restriction Models
AbstractThis article studies estimation of a conditional moment restriction model with the seminonparametric maximum likelihood approach proposed by Gallant and Nychka ("Econometrica" 55 (March 1987), 363-90). Under some sufficient conditions, we show that the estimator of the finite dimensional parameter θ is asymptotically normally distributed and attains the semiparametric efficiency bound and that the estimator of the density function is consistent under "L" 2 norm. Some results on the convergence rate of the estimated density function are derived. An easy to compute covariance matrix for the asymptotic covariance of the θ estimator is presented. Copyright 2007 by the Economics Department Of The University Of Pennsylvania And Osaka University Institute Of Social And Economic Research Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.
Volume (Year): 48 (2007)
Issue (Month): 4 (November)
Contact details of provider:
Postal: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
Phone: (215) 898-8487
Fax: (215) 573-2057
Web page: http://www.econ.upenn.edu/ier
More information through EDIRC
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or ().
If references are entirely missing, you can add them using this form.