Constrained Indirect Estimation

We develop generalized indirect estimation procedures that handle equality and inequality constraints on the auxiliary model parameters by extracting information from the relevant multipliers, and compare their asymptotic efficiency to maximum likelihood. We also show that, regardless of the validit...

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Veröffentlicht in:	The Review of economic studies 2004-10, Vol.71 (4), p.945-973
Hauptverfasser:	Calzolari, Giorgio, Fiorentini, Gabriele, Sentana, Enrique
Format:	Artikel
Sprache:	eng
Schlagworte:	C13 C22 Consistent estimators Covariance matrices Economic models Estimation methods Estimators Mathematical independent variables Maximum likelihood estimation Parametric models Stochastic models Term weighting
Online-Zugang:	Volltext
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