Averaging of moment condition estimators

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of v 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:	2012-09
Authors:	Chen, Xiaohong ; Jacho-Chavez, David T. ; Linton, Oliver
Institutions:	Centre for Microdata Methods and Practice (CEMMAP)
Subject:	Instrumental Variables \| Minimum Distance \| Semiparametric Efficiency \| Two-Stage Least Squares

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Extent:	application/pdf
Series:	CeMMAP working papers.
Type of publication:	Book / Working Paper
Notes:	Number CWP26/12
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010575249