Asymptotic Efficiency in Parametric Structural Models with Parameter-Dependent Support
支持集依赖参数的参数化结构模型中的渐近效率
In certain auction, search, and related models, the boundary of the support of the observed data depends on some of the parameters of interest. For such nonregular models, standard asymptotic distribution theory does not apply. Previous work has focused on characterizing the nonstandard limiting distributions of particular estimators in these models. In contrast, we study the problem of constructing efficient point estimators. We show that the maximum likelihood estimator is…