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arXiv · 2412.05621

Minimum Sliced Distance Estimation in a Class of Nonregular Econometric Models

Yanqin Fan·Hyeonseok Park
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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.

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Yanqin Fan, Hyeonseok Park. 2024-12-07. Minimum Sliced Distance Estimation in a Class of Nonregular Econometric Models. https://arxiv.org/abs/2412.05621

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