Superconsistent estimation and inference in structural econometric models using extreme order statistics.

DOI10.1016/S0304-4076(02)00116-1zbMath1043.62103MaRDI QIDQ1858955

Stephen G. Donald, Harry J. Paarsch

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlostructural econometricsmaximum-likelihood estimatorsparameter-support problems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Related Items (11)

Identification and estimation in sequential, asymmetric, English auctions ⋮ Semiparametric identification and estimation in multi-object, English auctions ⋮ Simulation based selection of competing structural econometric models ⋮ Nonparametric ``regression when errors are positioned at end-points ⋮ Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation ⋮ Bayesian estimation approaches to first-price auctions ⋮ Indirect inference in structural econometric models ⋮ Estimation in Nonparametric Regression with Non-Regular Errors ⋮ Bayesian beta regression for bounded responses with unknown supports ⋮ Superconsistent estimation and inference in structural econometric models using extreme order statistics. ⋮ Structural Econometric Methods in Auctions: A Guide to the Literature

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• A Statistical Evaluation of Multiplicative Congruential Random Number Generators with Modulus 2 31 - 1
• Piecewise Pseudo-Maximum Likelihood Estimation in Empirical Models of Auctions
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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