combines simulation with nonparametric regression in the computation of GMM models. We provide formal conditions under which … reflected in finite sample simulation results. Our results also apply to both exactly and over identified models. These …

models, that is motivated by the ideas proposed in the literature that combines simulation with nonparametric regression in … have theoretical advantages over kernel methods that are also reflected in finite sample simulation results. Our results …

Estimation of unknown parameters and functions involved in complex nonlinear econometric models is a very important … issue. Existing estimation methods include generalised method of moments (GMM) by Hansen (1982) and others, efficient method …), and nonparametric simulated maximum likelihood estimation (NSMLE) method by Creel and Kristensen (2011), and Kristensen …

number of restrictions are divergent with sample size and an unknown smooth function is involved. We propose an estimation … over-identi fication and establish their large sample properties. We provide a simulation study that shows the performance …