Creel, Michael; Kristensen, Dennis - Barcelona Graduate School of Economics (Barcelona GSE) - 2011
Given a sample from a fully specified parametric model, let Z<sub><em>n</em></sub> be a given finite-dimensional statistic - for example, an initial estimator or a set of sample moments. We propose to (re-)estimate the parameters of the model by maximizing the likelihood of Z<sub><em>n</em></sub>. We call this the maximum indirect...
