Maximum likelihood estimation and uniform inference with sporadic identification failure

A-Tier
Journal: Journal of Econometrics
Year: 2013
Volume: 173
Issue: 1
Pages: 36-56

Authors (2)

Score contribution per author:

2.011 = (α=2.01 / 2 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper analyzes the properties of a class of estimators, tests, and confidence sets (CSs) when the parameters are not identified in parts of the parameter space. Specifically, we consider estimator criterion functions that are sample averages and are smooth functions of a parameter θ. This includes log likelihood, quasi-log likelihood, and least squares criterion functions.

Technical Details

RePEc Handle
repec:eee:econom:v:173:y:2013:i:1:p:36-56
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-24