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Likelihood Estimation and Inference in a Class of Nonregular Econometric Models

  • Victor Chernozhukov
  • Han Hong

We study inference in structural models with a jump in the conditional density, where location and size of the jump are described by regression curves. Two prominent examples are auction models, where the bid density jumps from zero to a positive value at the lowest cost, and equilibrium job-search models, where the wage density jumps from one positive level to another at the reservation wage. General inference in such models remained a long-standing, unresolved problem, primarily due to nonregularities and computational difficulties caused by discontinuous likelihood functions. Copyright The Econometric Society 2004.

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File URL: http://hdl.handle.net/10.1111/j.1468-0262.2004.00540.x
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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 72 (2004)
Issue (Month): 5 (09)
Pages: 1445-1480

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Handle: RePEc:ecm:emetrp:v:72:y:2004:i:5:p:1445-1480
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