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2014

Minimum Integrated Distance Estimation in Simultaneous Equation Models

Gao, Zhengyuan, Galvao, Antonio

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This paper considers estimation and inference in semiparametric econometric models.

Standard procedures estimate the model based on an independence restriction that induces a minimum distance between a joint cumulative distribution function and the product of the marginal cumulative distribution functions.
This paper develops a new estimator which generalizes estimation by allowing endogeneity of the weighting measure and estimating the optimal measure nonparametrically.
The optimality corresponds to the minimum of the integrated distance.

Minimum Integrated Distance Estimation in Simultaneous Equation Models · Around

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Hoeffding, W
1963
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Rubinshtein, G
1970
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1980
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1983
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1983
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Benkard, C. L., and
1988
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Roehrig, C. S
1988
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Devroye, L., and
1990
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Talagrand, M
1991
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