This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Chunrong Ai
Xiaohong Chen

Additional information is available for the following registered author(s):

Abstract

We propose an estimation method for models of conditional moment restrictions, which contain finite dimensional unknown parameters (theta) and infinite dimensional unknown functions (h). Our proposal is to approximate h with a sieve and to estimate theta and the sieve parameters jointly by applying the method of minimum distance. We show that: (i) the sieve estimator of h is consistent with a rate faster than n-super--1/4 under certain metric; (ii) the estimator of theta is root-n consistent and asymptotically normally distributed; (iii) the estimator for the asymptotic covariance of the theta estimator is consistent and easy to compute; and (iv) the optimally weighted minimum distance estimator of theta attains the semiparametric efficiency bound. We illustrate our results with two examples: a partially linear regression with an endogenous nonparametric part, and a partially additive IV regression with a link function. Copyright The Econometric Society 2003.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwellpublishing.com/ecta/asp/abstract.asp?iid=6&aid=470&vid=71
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 71 (2003)
Issue (Month): 6 (November)
Pages: 1795-1843
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:ecm:emetrp:v:71:y:2003:i:6:p:1795-1843

Contact details of provider:
Phone: 1 212 998 3820
Fax: 1 212 995 4487
Email:
Web page: http://www.econometricsociety.org/
More information through EDIRC

Order Information:
Email:
Web: http://www.blackwellpublishing.com/memb.asp?ref=0012-9682

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.
Statistics
Access and download statistics

Did you know? Data contributors to RePEc receive monthly emails with details about downloads and abstract views of their works.

This page was last updated on 2009-11-12.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.