A Unified Theory of Consistent Estimation for Parametric Models
基于Domowitz和White的最新成果，提出了针对可能误设的参数模型的一致估计统一理论，允许异质、时变数据和动态模型，并应用于拟极大似然和矩估计方法的一致性证明。
We present a general theory of consistent estimation for possibly misspecified parametric models based on recent results of Domowitz and White. This theory extends the unification of Burguete, Gallant, and Souza by allowing for heterogeneous, time-dependent data and dynamic models. The theory is applied to yield consistency results for quasi-maximum-likelihood and method of moments estimators. Of particular interest is a new generalized rank condition for identifiability.