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A Semiparametric Maximum Likelihood Estimator

Chunrong Ai

Econometrica, 1997, vol. 65, issue 4, 933-964

Abstract: A maximum likelihood estimator for models containing nuisance parameters is proposed. The estimator is shown to be asymptotically normal and attain the semiparametric efficiency bounds for a number of important econometric models. The idea is to find a parametric model that passes through the true model. The score for the parametric model is then estimated nonparametrically and the estimator is obtained by setting the estimated score to zero.

Date: 1997
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