This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite dimensional parameter g0. We estimate it in a quasi-Bayesian way based on the limited information likelihood, and investigate the impact of three types of priors on the...

This paper studies nonparametric estimation of conditional moment models in which the residual functions could be nonsmooth with respect to the unknown functions of endogenous variables. It is a problem of nonparametric nonlinear instrumental variables (IV) estimation, and a difficult nonlinear...

This paper considers estimation of panel data models with fixed effects. First, we will show that a consistent "unrestricted fixed effects" estimator does not exist for autoregressive panel data models with initial conditions. We will derive necessary and sufficient conditions for the...

Inverse problems can be described as functional equations where the value of the function is known or easily estimable but the argument is unknown. Many problems in econometrics can be stated in the form of inverse problems where the argument itself is a function. For example, consider a...

A general estimation approach combining the attractive features of method of moments with the efficiency of ML is proposed. The moment conditions are computed via the characteristic function. The two major difficulties with the implementation is that one needs to use an infinite set of moment...