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CONSISTENCY OF PLUG-IN ESTIMATORS OF UPPER CONTOUR AND LEVEL SETS

Published online by Cambridge University Press:  03 August 2011

Neşe Yildiz
Neşe Yildiz*
Affiliation:
University of Rochester
*
*Address Correspondence to Neşe Yildiz, University of Rochester, Department of Economics, 231 Harkness Hall, Rochester, NY 14627, USA; e-mail: [email protected].
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Abstract

This paper studies the problem of estimating the set of finite-dimensional parameter values defined by a finite number of moment inequality or equality conditions and gives conditions under which the estimator defined by the set of parameter values that satisfy the estimated versions of these conditions is consistent in Hausdorff metric. This paper also suggests extremum estimators that with probability approaching 1 agree with the set consisting of parameter values that satisfy the sample versions of the moment conditions. In particular, it is shown that the set of minimizers of the sample generalized method of moments (GMM) objective function is consistent for the set of minimizers of the population GMM objective function in Hausdorff metric.

Type
ARTICLES
Information
Econometric Theory , Volume 28 , Issue 2 , April 2012 , pp. 309 - 327
Copyright
Copyright © Cambridge University Press 2011

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