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Title:Averaging of moment condition estimators PDF Logo
Authors:Chen, Xiaohong
Jacho-Chàvez, David T.
Linton, Oliver
Issue Date:2012
Series/Report no.:cemmap working paper CWP26/12
Abstract: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.
Subjects:Instrumental Variables
Minimum Distance
Semiparametric Efficiency
Two-Stage Least Squares
JEL:C12
C13
C14
Persistent Identifier of the first edition:doi:10.1920/wp.cem.2012.2612
Document Type:Working Paper
Appears in Collections:cemmap working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (IFS)

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