The Econometric SocietyEdited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262
Econometrica: Mar, 1987, Volume 55, Issue 2
https://doi.org/0012-9682(198703)55:2<363:SMLE>2.0.CO;2-R
p. 363-390
A. Ronald Gallant, Douglas W. Nychka
Often maximum likelihood is the method of choice for fitting an econometric model to data but cannot be used because the correct specification of the (multivariate) density that defines the likelihood is unknown. Regression with sample selection is an example. In this situation, simply put the density equal to a Hermite series and apply standard finite dimensional maximum likelihood methods. Model parameters and nearly all aspects of the unknown density itself will be estimated consistently provided that the length of the series increases with sample size. The rule for increasing series length can be data dependent. To assure in-range estimates, the Hermite series is in the form of a polynomial squared times a normal density function with the coefficients of the polynomial restricted so that the series integrates to one and has mean zero. If another density is more plausible a priori, it may be substituted for the normal. The paper verifies these claims and applies the method to nonlinear regression with sample selection and to estimation of the Stoker functional.
March 5, 2024
The terms of the Editors of the Econometric Society's three journals end June 30, 2025. We are pleased to announce the incoming Editors and to thank the outgoing Editors for their excellent and continuing service.
Econometrica: Since 2019, Guido Imbens has served as the 14th Editor of Econometrica. On July 1, 2025, Marina Halac will become the Editor.
Quantitative Economics: Stéphane Bonhomme has been the Editor of Quantitative Economics since 2021. His successor will be Bernard Salanié.
Theoretical Economics: The Editor of Theoretical Economics since 2021 has been Simon Board. Taking over for him in July 2025 will be Federico Echenique.
Guido, Stéphane, and Simon have been outstanding Editors. We are grateful to them for the work they have done and will continue to do, and we look forward to further congratulating them next year. We believe Marina, Bernard, and Federico will be outstanding successors and we thank them in advance for their service.
Finally, we are grateful to Larry Samuelson for chairing all three search committees, and we thank the search committee members for their hard and fruitful work:
Econometrica: Christian Dustmann, Lars Hansen, Alessandro Lizzeri, George Mailath, Ariel Pakes, Helene Rey, and Elie Tamer.
QE: Kate Ho, Michael Keane, Felix Kubler, Whitney Newey, and Frank Schorfheide.
TE: Jeff Ely, Johannes Horner, Gilat Levy, Meg Meyer, and Ran Spiegler.
