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A Unified Theory of Consistent Estimation for Parametric Models

Published online by Cambridge University Press:  18 October 2010

Charles Bates  and
Halbert White
Charles Bates
Affiliation:
Johns Hopkins University
Halbert White
Affiliation:
University of California at San Diego and Massachusetts Institute of Technology
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Abstract

We present a general theory of consistent estimation for possibly misspecified parametric models based on recent results of Domowitz and White. This theory extends the unification of Burguete, Gallant, and Souza by allowing for heterogeneous, time-dependent data and dynamic models. The theory is applied to yield consistency results for quasi-maximum-likelihood and method of moments estimators. Of particular interest is a new generalized rank condition for identifiability.

Type
Articles
Information
Econometric Theory , Volume 1 , Issue 2 , August 1985 , pp. 151 - 178
Copyright
Copyright © Cambridge University Press 1985

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