This paper presents a new simulated maximum-likelihood method that rests on estimating the likelihood nonparametrically on a simulated sample. We prove that this method, which can be used on very general models, is consistent and asymptotically efficient.

The essential idea of equilibrium search models of labor market behavior is that wage policy matters. In this paper we provide for estimating equilibrium search models using a non-parametric estimator of heterogeneity.

We discuss the normal vairance-mean mixture model from a semi-parametric point of view, i.e. we let the mixing distribution belong to a non parametric family. The main results are consistency of the non parametric maximum likelihood estimator in this case, and construction of an asymptotically...