This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...

This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...

This paper considers estimation and inference for the multinomial response model in the case where endogenous variables are arguments of the unknown link function. Semiparametric estimators are proposed that avoid the parametric assumptions underlying the likelihood approach as well as the loss...