Creel, Michael; Kristensen, Dennis - Centre pour la Recherche Économique et ses … - 2011
Given a sample from a fully specified parametric model, let $Z_n$ 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 $Z_n$. We call this the maximum...