A Unified Theory of Consistent Estimation for Parametric Models
- 1 April 1985
- journal article
- research article
- Published by Cambridge University Press (CUP) in Econometric Theory
- Vol. 1 (2) , 151-178
- https://doi.org/10.1017/s0266466600011117
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.Keywords
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