Heavy-tailed response variables are routinely modeled as a function of covariates, but the asymptotic theory available for the resulting maximum likelihood estimators sidesteps certain technical difficulties by restricting the parameters to a compact set, which is not the natural parameter space. We consider a Fr\'echet model whose scale parameter depends log-linearly on a vector of covariates, while the tail parameter is constant, and we study the conditional maximum likelihood estimator of the tail parameter and the regression coefficients jointly. We show that this estimator is consistent over the full, noncompact parameter space, and that it is asymptotically normal, with the inverse Fisher information as limiting covariance matrix. Consistency is obtained by a specific compactification of the parameter space relying on the cosmic closure of Euclidean space. The extension of Wald's consistency theorem needed for that step, from single observations to blocks of observations, is stated in an abstract setting and is possibly of independent interest.
We study estimation and inference for a semiparametric class of time series models that specify only the conditional expectation, which is a known link function applied to a linear combination of past observations and covariates. The class covers count, binary, bounded and conditionally heteroskedastic responses within...
The random-coefficient demand model of Berry, Levinsohn, and Pakes (1995) is commonly estimated by the generalized method of moments (GMM), using an unconditional moment restriction with a fixed set of instruments. Identification of the model, however, rests on a conditional moment restriction. The two are not equivale...
In many scientific studies, evaluating the association between two responses requires adjusting for shared covariates. The expected conditional covariance measures this adjusted association and is used in conditional independence testing and treatment effect estimation. Researchers often estimate it using fitted condit...
This work addresses a longstanding gap in the statistical foundations of marginal maximum likelihood estimation for high-dimensional latent variable models. Marginal maximum likelihood estimation is widely used to fit latent variable models across the social sciences, ecology, and machine learning. Despite its broad us...
Many models, such as fixed-effect models for panel or network data, are hard to estimate because they feature nuisance parameters that are both numerous and estimated imprecisely. This, in general, causes an incidental-parameter problem in the estimator of the parameters of interest. The problem can be alleviated by wo...
Stéphane Bonhomme, Koen Jochmans, M. Weidner· 0 citations
We study preference elicitation under the Bradley-Terry-Luce (BTL) model where the true partworth vector is unknown and has to be estimated as a parameter with elicited preference information. The set of selected pairwise queries is non-uniform, deterministic, and arbitrary over a collection of alternatives, provided t...
Yi-Chen Li, Hui-Fu Xu· 1 citation
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