Arbeitspapier
Asymptotic efficiency of semiparametric two-step GMM
Many structural economics models are semiparametric ones in which the unknown nuisance functions are identified via nonparametric conditional moment restrictions with possibly nonnested or overlapping conditioning sets, and the finite dimensional parameters of interest are over-identified via unconditional moment restrictions involving the nuisance functions. In this paper we characterize the semiparametric efficiency bound for this class of models. We show that semiparametric two-step optimally weighted GMMestimators achieve the efficiency bound, where the nuisance functions could be estimated via any consistent nonparametric 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP28/14
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
-
Overlapping Information Sets
Semiparametric Efficiency
Two-Step GMM
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ackerberg, Daniel
Chen, Xiaohong
Hahn, Jinyong
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2014
- DOI
-
doi:10.1920/wp.cem.2014.2814
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ackerberg, Daniel
- Chen, Xiaohong
- Hahn, Jinyong
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2014
Ähnliche Objekte (12)
Asymptotic efficiency of semiparametric two-step GMM
A practical asymptotic variance estimator for two-step semiparametric estimators
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
Efficient estimation of copula-based semiparametric Markov models
Penalized sieve estimation and inference of semi-nonparametric dynamic models: A selective review
Local identification of nonparametric and semiparametric models
Local identification of nonparametric and semiparametric models
Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation
Asymptotic efficiency of semiparametric two-step GMM
A practical asymptotic variance estimator for two-step semiparametric estimators
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
Efficient estimation of copula-based semiparametric Markov models
Penalized sieve estimation and inference of semi-nonparametric dynamic models: A selective review
Local identification of nonparametric and semiparametric models
Local identification of nonparametric and semiparametric models
Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression
Optimal sup-norm rates, adaptivity and inference in nonparametric instrumental variables estimation
Asymptotic efficiency of semiparametric two-step GMM
A practical asymptotic variance estimator for two-step semiparametric estimators
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Efficient estimation of semiparametric conditional moment models with possibly nonsmooth residuals
Semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
Optimal uniform convergence rates and asymptotic normality for series estimators under weak dependence and weak conditions
Efficient estimation of copula-based semiparametric Markov models
Penalized sieve estimation and inference of semi-nonparametric dynamic models: A selective review
Local identification of nonparametric and semiparametric models
Local identification of nonparametric and semiparametric models
Optimal sup-norm rates and uniform inference on nonlinear functionals of nonparametric IV regression