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Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators

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  • Gach, Florian
  • Pötscher, Benedikt M.

Abstract

Indirect inference estimators (i.e., simulation-based minimum distance estimators) in a parametric model that are based on auxiliary non-parametric maximum likelihood density estimators are shown to be asymptotically normal. If the parametric model is correctly specified, it is furthermore shown that the asymptotic variance-covariance matrix equals the Cramér-Rao bound. These results are based on uniform-in-parameters convergence rates and a uniform-in-parameters Donsker-type theorem for non-parametric maximum likelihood density estimators.

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File URL: http://mpra.ub.uni-muenchen.de/27512/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 27512.

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Date of creation: 16 Dec 2010
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Handle: RePEc:pra:mprapa:27512

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Keywords: Indirect inference; simulation-based minimum distance estimation; non-parametric maximum likelihood; density estimation; efficiency;

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  1. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  2. Fermanian, Jean-David & Salani , Bernard, 2004. "A Nonparametric Simulated Maximum Likelihood Estimation Method," Econometric Theory, Cambridge University Press, vol. 20(04), pages 701-734, August.
  3. Filippo Altissimo & Antonio Mele, 2009. "Simulated Non-Parametric Estimation of Dynamic Models," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 413-450.
  4. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October.
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