Ayuda
Ir al contenido

Dialnet


Asymptotic Efficiency of Semiparametric Two-step GMM

    1. [1] University of Michigan
    2. [2] Yale University
    3. [3] UCLA
  • Localización: Review of economic studies, ISSN 0034-6527, Vol. 81, Nº 3, 2014, págs. 919-943
  • Idioma: inglés
  • Texto completo no disponible (Saber más ...)
  • Resumen
    • Many structural economics models are semiparametric ones in which the unknown nuisance functions are identified via non-parametric conditional moment restrictions with possibly non-nested or overlapping conditioning sets, and the finite dimensional parameters of interest are over-identified via unconditional moment restrictions involving the nuisance functions. In this article we characterize the semiparametric efficiency bound for this class of models. We show that semiparametric two-step optimally weighted GMM estimators achieve the efficiency bound, where the nuisance functions could be estimated via any consistent non-parametric methods in the first step. Regardless of whether the efficiency bound has a closed form expression or not, we provide easy-to-compute sieve-based optimal weight matrices that lead to asymptotically efficient two-step GMM estimators.


Fundación Dialnet

Dialnet Plus

  • Más información sobre Dialnet Plus

Opciones de compartir

Opciones de entorno