arXiv 7 Dec 2024 · Econometrics
arXiv:2412.05621 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Tong Li (2009) Indirect Inference in Structural Econometric Models | 1.000 | 33 | 3 | 100% |
| 2 | Victor Chernozhukov and Han Hong (2004) Likelihood Estimation and Inference in a Class of Nonregular Econometric Models | 0.944 | 19 | 4 | 84% |
| 3 | Keisuke Hirano and Jack R Porter (2003) Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support | 0.874 | 6 | 2 | 100% |
| 4 | Stephen G Donald and Harry J Paarsch (2002) Superconsistent Estimation and Inference in Structural Econometric Models Using Extreme Order Statistics | 0.874 | 5 | 2 | 100% |
| 5 | Harry J Paarsch (1992) Deciding between the Common and Private Value Paradigms in Empirical Models of Auctions | 0.874 | 5 | 2 | 100% |
| 6 | Espen Bernton, Pierre E Jacob, Mathieu Gerber, and Christian P Robert (2019) On Parameter Estimation with the Wasserstein Distance | 0.693 | 5 | 1 | 100% |
| 7 | Francois-Xavier Briol, Alessandro Barp, Andrew B. Duncan, and Mark G… (2019) Statistical Inference for Generative Models with Maximum Mean Discrepancy | 0.644 | 4 | 2 | 50% |
| 8 | Kimia Nadjahi, Alain Durmus, Lénaïc Chizat, Soheil Kolouri, Shahin S… (2020) Statistical and Topological Properties of Sliced Probability Divergences | 0.511 | 2 | 2 | 50% |
| 9 | Whitney K. Newey (1991) Uniform Convergence in Probability and Stochastic Equicontinuity | 0.511 | 2 | 2 | 50% |
| 10 | Robert P. Sherman (1994) Maximal Inequalities for Degenerate $U$-Processes with Applications to Optimization Estimators | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 29 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | An econometrician's guide to optimal transport | 0.511 | 2 | 1 |
| 2 | A sliced Wasserstein and diffusion approach to random coefficient models | 0.405 | 1 | 1 |