INTEGRATION BASED METHODS FOR ECONOMETRIC MODELS

Open Access
Author:
Wan, Yuanyuan
Graduate Program:
Economics
Degree:
Doctor of Philosophy
Document Type:
Dissertation
Date of Defense:
July 25, 2011
Committee Members:
  • Joris Pinkse And Sung Jae Jun, Dissertation Advisor
  • Joris Pinkes, Committee Chair
  • Sung Jae Jun, Committee Chair
  • Herman J Bierens, Committee Member
  • Runze Li, Committee Member
Keywords:
  • cube root
  • Integration based methods
  • moment inequality
Abstract:
In my dissertation, I propose new integration–based estimation and inference methods for several classes of models, namely Kim and Pollard (1990)–type models, robust estimation in linear regression models and moment inequality models. I show that the integration–based approaches do not only have non–trivial computation advantage over most of the existing methods but also attractive in certain aspects of asymptotics.