Averaging of moment condition estimators

Xiaohong Chen; David T. Jacho-Chàvez; Oliver Linton

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n– consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied estimator in that case is shown to achieve the semiparametric efficiency bound. The proofs do not rely on smoothness of underlying criterion functions.

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Year of publication:	2012
Authors:	Chen, Xiaohong ; Jacho-Chàvez, David T. ; Linton, Oliver
Publisher:	London : Centre for Microdata Methods and Practice
Subject:	Instrumental Variables \| Minimum Distance \| Semiparametric Efficiency \| Two-Stage Least Squares \| Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics \| IV-Schätzung \| Instrumental variables \| Kleinste-Quadrate-Methode \| Least squares method \| Momentenmethode \| Method of moments