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Averaging of moment condition estimators

Author

Listed:
  • Xiaohong Chen

    (Institute for Fiscal Studies and Yale University)

  • David Jacho-Chávez

    (Institute for Fiscal Studies)

  • Oliver Linton

    (Institute for Fiscal Studies and University of Cambridge)

Abstract

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of vn- 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.

Suggested Citation

  • Xiaohong Chen & David Jacho-Chávez & Oliver Linton, 2012. "Averaging of moment condition estimators," CeMMAP working papers CWP26/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:26/12
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    References listed on IDEAS

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    Cited by:

    1. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.

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    More about this item

    Keywords

    Instrumental Variables; Minimum Distance; Semiparametric Efficiency; Two-Stage Least Squares;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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