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Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support

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  • Keisuke Hirano
  • Jack R. Porter

Abstract

In certain auction, search, and related models, the boundary of the support of the observed data depends on some of the parameters of interest. For such nonregular models, standard asymptotic distribution theory does not apply. Previous work has focused on characterizing the nonstandard limiting distributions of particular estimators in these models. In contrast, we study the problem of constructing ecient point estimators. We show that the maximum likelihood estimator is generally inecient, but that the Bayes estimator is ecient according to the local asymptotic minmax criterion for conventional loss functions. We provide intuition for this result using Le Cam's limits of experiments framework.

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Bibliographic Info

Paper provided by Harvard - Institute of Economic Research in its series Harvard Institute of Economic Research Working Papers with number 1988.

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Date of creation: 2002
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Handle: RePEc:fth:harver:1988

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Cited by:
  1. Tong Li, 2006. "Simulation based selection of competing structural econometric models," CeMMAP working papers CWP16/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
  3. Wang, Haiying & Sun, Dongchu, 2012. "Objective Bayesian analysis for a truncated model," Statistics & Probability Letters, Elsevier, vol. 82(12), pages 2125-2135.
  4. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 76(5), pages 1103-1142, 09.
  5. Yu, Ping, 2012. "Likelihood estimation and inference in threshold regression," Journal of Econometrics, Elsevier, vol. 167(1), pages 274-294.
  6. Joris Pinkse & Margaret Slade, 2007. "Semi-structural models of advertising competition," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(7), pages 1227-1246.
  7. Li, Tong & Zheng, Xiaoyong, 2012. "Information acquisition and/or bid preparation: A structural analysis of entry and bidding in timber sale auctions," Journal of Econometrics, Elsevier, vol. 168(1), pages 29-46.
  8. Patrick Bayer & Shakeeb Khan & Christopher Timmins, 2008. "Nonparametric Identification and Estimation in a Generalized Roy Model," NBER Working Papers 13949, National Bureau of Economic Research, Inc.
  9. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, vol. 148(2), pages 114-123, February.
  10. Tong Li & Xiaoyong Zheng, 2006. "Entry and competition effects in first-price auctions: theory and evidence from procurement auctions," CeMMAP working papers CWP13/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  11. Vukina, Tomislav & Zheng, Xiaoyong & Marra, Michele & Levy, Armando, 2008. "Do farmers value the environment? Evidence from a conservation reserve program auction," International Journal of Industrial Organization, Elsevier, vol. 26(6), pages 1323-1332, November.
  12. Li, Tong, 2010. "Indirect inference in structural econometric models," Journal of Econometrics, Elsevier, vol. 157(1), pages 120-128, July.
  13. Werner Ploberger & Peter C.B. Phillips, 2010. "Optimal Estimation under Nonstandard Conditions," Cowles Foundation Discussion Papers 1748, Cowles Foundation for Research in Economics, Yale University.

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