Abstract
Full paper is available at: https://ssrn.com/abstract=3233422 This online appendix contains all the proofs of the main results in Han and Lee (2018), technical assumptions, and additional simulation results. Section A contains the proofs of the identification/non-identification results. Section B collects the proofs in the asymptotic theory of the sieve ML estimators, related technical assumptions, and other expressions. Finally, Section C shows more simulation results.
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