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introducing infinite-dimensional nuisance parameters using a least-favourable entropy-maximising distribution. We demonstrate …, through examples and simulations, that this approach covers a wide class of latent variables models, including some game …
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The contribution of generalized method of moments (Hansen and Singleton, 1982) was to allow frequentist inference regarding the parameters of a nonlinear structural model without having to solve the model. Provided there were no latent variables. The contribution of this paper is the same. With...
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