A Unified Theory of Consistent Estimation for Parametric Models

Charles Bates and Halbert White

Econometric Theory, 1985, vol. 1, issue 2, 151-178

Abstract: We present a general theory of consistent estimation for possibly misspecified parametric models based on recent results of Domowitz and White. This theory extends the unification of Burguete, Gallant, and Souza by allowing for heterogeneous, time-dependent data and dynamic models. The theory is applied to yield consistency results for quasi-maximum-likelihood and method of moments estimators. Of particular interest is a new generalized rank condition for identifiability.

Date: 1985
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Working Paper: A Unified Theory of Consistent Estimation for Parametric Models (1984)
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