Minimum Sliced Distance Estimation in a Class of Nonregular Econometric Models

Yanqin Fan and Hyeonseok Park

Papers from arXiv.org

Abstract: This paper proposes minimum sliced distance estimation in structural econometric models with possibly parameter-dependent supports. In contrast to likelihood-based estimation, we show that under mild regularity conditions, the minimum sliced distance estimator is asymptotically normally distributed leading to simple inference regardless of the presence/absence of parameter dependent supports. We illustrate the performance of our estimator on an auction model.

Date: 2024-12
New Economics Papers: this item is included in nep-ecm
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