Arbeitspapier
Information equivalence among transformations of semiparametric nonlinear panel data models
This paper considers transformations of nonlinear semiparametric mean functions that yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I derive a unified theory of algebraic equivalence for moment conditions created by a given linear transformation. The main equivalence result states that under standard regularity conditions, transformations that create conditional moment restrictions in a given empirical setting need only to have an equal rank to reach the same efficiency bound. Examples are included, where I compare feasible and infeasible transformations of both nonlinear models with multiplicative heterogeneity and linear models with arbitrary unobserved factor structures.
- Sprache
-
Englisch
- Erschienen in
-
Series: Queen’s Economics Department Working Paper ; No. 1494
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Multiple or Simultaneous Equation Models: Instrumental Variables (IV) Estimation
- Thema
-
Semiparametric efficiency
nonlinear regression
generalized least squares
fixed-T
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Brown, Nicholas
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen's University, Department of Economics
- (wo)
-
Kingston (Ontario)
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Brown, Nicholas
- Queen's University, Department of Economics
Entstanden
- 2022
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