Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/64640
Authors: 
Ai, Chunrong
Chen, Xiaohong
Year of Publication: 
2009
Series/Report no.: 
cemmap working paper CWP28/09
Abstract: 
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment restriction models with identical information sets to the case of nested information sets, and those of Chamberlain (1992a) and Brown and Newey (1998) for models of sequential moment restrictions without unknown functions to cases with unknown functions of possibly endogenous variables. Our bound results are applicable to semiparametric panel data models and semiparametric two stage plug-in problems. As an example, we compute the efficiency bound for a weighted average derivative of a nonparametric instrumental variables (IV) regression, and find that the simple plug-in estimator is not efficient. Finally, we present an optimally weighted, orthogonalized, sieve minimum distance estimator that achieves the semiparametric efficiency bound.
Subjects: 
Sequential moment models
Semiparametric efficiency bounds
Optimally weighted orthogonalized sieve minimum distance
Nonparametric IV regression
Weighted average derivatives
Partially linear quantile IV
JEL: 
C14
C22
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
427.26 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.