Semiparametric Efficiency Bounds for Microeconometric Models: A Survey

In this survey, we evaluate estimators by comparing their asymptotic variances. The role of the efficiency bound, in this context, is to give a lower bound to the asymptotic variance of an estimator. An estimator with asymptotic variance equal to the efficiency bound can therefore be said to be asymptotically efficient. These bounds are also useful for understanding how the features of a given model affect the accuracy of parameter estimation.

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Year of publication:	2013
Authors:	Severini, Thomas A. ; Tripathi, Gautam
Published in:	Foundations and Trends(R) in Econometrics. - now publishers. - Vol. 6.2013, 3-4, p. 163-397
Publisher:	now publishers
Subject:	Weak instruments \| Linear simultaneous equation models \| Instrument variables estimation \| Large-sample asymptotic analysis \| Finite-sample analysis \| Hypothesis testing

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Extent:	application/xml
Type of publication:	Article
Other identifiers:	10.1561/0800000019 [DOI]
Classification:	C01 - Econometrics ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010728835