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Minimum Sliced Distance Estimation in a Class of Nonregular Econometric Models

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  • Yanqin Fan
  • Hyeonseok Park

Abstract

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.

Suggested Citation

  • Yanqin Fan & Hyeonseok Park, 2024. "Minimum Sliced Distance Estimation in a Class of Nonregular Econometric Models," Papers 2412.05621, arXiv.org.
    • Handle: RePEc:arx:papers:2412.05621
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    References listed on IDEAS

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    1. Paarsch, Harry J., 1992. "Deciding between the common and private value paradigms in empirical models of auctions," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 191-215.
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