Estimation of nonlinear errors-in-variables models: a simulated minimum distance estimator
Hsiao (1989, J. Econometrics 41, 159-185) proposes a minimum distance estimator in estimating the structural nonlinear errors-in-varaibles models. We propose a simulated minimum distance estimator that is consistent and resolves the computational difficulty involved in the minimum distance estimator.
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Volume (Year): 47 (2000)
Issue (Month): 3 (April)
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References listed on IDEAS
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- Amemiya, Yasuo, 1985. "Instrumental variable estimator for the nonlinear errors-in-variables model," Journal of Econometrics, Elsevier, vol. 28(3), pages 273-289, June.
- Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-1057, September.
- Hsiao, Cheng, 1989.
"Consistent estimation for some nonlinear errors-in-variables models,"
Journal of Econometrics,
Elsevier, vol. 41(1), pages 159-185, May.
- Hsiao, C., 1988. "Consistent Estimation For Some Nonlinear Errors-In- Variables Models," Papers m8810, Southern California - Department of Economics.
- Laffont, Jean-Jacques & Ossard, Herve & Vuong, Quang, 1995. "Econometrics of First-Price Auctions," Econometrica, Econometric Society, vol. 63(4), pages 953-980, July.
- Laffont, Jean-Jacques & Ossard, Hervé & Vuong, Quang, 1991. "Econometrics of First-Price Auctions," IDEI Working Papers 7, Institut d'Économie Industrielle (IDEI), Toulouse.
- Hsiao, C., 1992. "Nonlinear Latent Variable Models," Papers 9211, Southern California - Department of Economics. Full references (including those not matched with items on IDEAS)