Continuously Extremum Estimators.

An important class of structural econometric models (nonlinear rational expectations,option pricing, auction models,...) characterize observable variables as highly nonlinear transformations of some latent variables. These transformations are one-to-one but they depend on the unknown distribution of the latent variable through the equilibrium of the game and/or the learning process. Therefore numerical complexity of the equilibrium definition generates substantial obstacles for the idrect implementation of maximum likelihood inference.