We analyze optimality properties of maximum likelihood (ML) and other estimators when the problem does not necessarily fall within the locally asymptotically normal (LAN) class, therefore covering cases that are excluded from conventional LAN theory such as unit root nonstationary time series....

In this paper we propose to estimate the value distribution of independently and identically repeated first-price auctions directly via a semi-nonparametric integrated simulated moments sieve approach. Given a candidate value distribution function in a sieve space, we simulate bids according to...