Semiparametric Minimum-distance Estimation

Abstract

Semiparametric minimum-distance estimation methods are introduced for the estimation of parametric or semiparametric econometric models. The semiparametric minimum-distance estimation methods share some familiar properties of the classical minimum-distance estimation method. However, they can be applied to the estimation of models with disagregated data. Asymptotic properties of the estimators are analyzed. Some goodness-of-fit test statistics are introduced. For the estimation of some econometric models, weighted minimum-distance estimators can be asymptotically efficient. The minimum-distance estimators are asympototically invariant with respect to some transformations.