requires repeated re-calculation of the estimator. In Honoré and Hu (2015), we propose a computationally simpler bootstrap … contribution here is that rather than repeated re-calculating the U-statistic-based estimator, we can recalculate a related … estimator based on single-sums. A simulation study suggests that the approach leads to a good approximation to the standard …

partially unavailable, and dynamic discrete games. We propose a sieve maximum likelihood estimator for primitives in agents …

choices are partially unavailable, and dynamic discrete games. We propose a sieve maximum likelihood estimator for primitives …

requires repeated re-calculation of the estimator. In this paper, we propose a method which is specific to extremum estimators … based on U-statistics. The contribution here is that rather than repeated re-calculation of the U-statistic-based estimator …, we can recalculate a related estimator based on single-sums. A simulation study suggests that the approach leads to a …

being a prime example. A natural estimator is the innate estimator that maximizes Q(X;\theta.) wrt. \theta. While the innate … estimator has certain advantages, we show that the asymptotically efficient estimator is defined from a likelihood function in … conjunction with Q. The likelihood-based estimator is, however, fragile, as misspecification is harmful in two ways. First, the …