Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems
5 Pages Posted: 20 Jun 2004 Last revised: 30 Oct 2016
This paper deals with the estimation of structural econometric models where the probability distribution of endogenous variables is implicitly defined as an equilibrium of a fixed-point problem. It proposes a pseudo maximum likelihood procedure and studies its asymptotic properties.
Keywords: Fixed points, Pseudo maximum likelihood estimation, Recursive methods
JEL Classification: C13, C63
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