IDEAS home Printed from https://ideas.repec.org/p/koe/wpaper/1531.html
   My bibliography  Save this paper

A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models

Author

Listed:
  • Naoya Sueishi

    () (Graduate School of Economics, Kobe University)

Abstract

This study gives a simple derivation of the efficiency bound for conditional moment restriction models. The Fisher information is obtained by deriving a least favorable submodel in an explicit form. The proposed method also suggests an asymptotically efficient estimator, which can be viewed as an empirical likelihood estimator for conditional moment restriction models.

Suggested Citation

  • Naoya Sueishi, 2015. "A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models," Discussion Papers 1531, Graduate School of Economics, Kobe University.
  • Handle: RePEc:koe:wpaper:1531
    as

    Download full text from publisher

    File URL: http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2015/1531.pdf
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Manuel A. Domínguez & Ignacio N. Lobato, 2004. "Consistent Estimation of Models Defined by Conditional Moment Restrictions," Econometrica, Econometric Society, vol. 72(5), pages 1601-1615, September.
    2. Otsu, Taisuke & Whang, Yoon-Jae, 2011. "Testing For Nonnested Conditional Moment Restrictions Via Conditional Empirical Likelihood," Econometric Theory, Cambridge University Press, vol. 27(01), pages 114-153, February.
    3. Newey, Whitney K, 1990. "Efficient Instrumental Variables Estimation of Nonlinear Models," Econometrica, Econometric Society, vol. 58(4), pages 809-837, July.
    4. Lavergne, Pascal & Patilea, Valentin, 2013. "Smooth minimum distance estimation and testing with conditional estimating equations: Uniform in bandwidth theory," Journal of Econometrics, Elsevier, vol. 177(1), pages 47-59.
    5. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(06), pages 797-834, December.
    6. Yuichi Kitamura & Gautam Tripathi & Hyungtaik Ahn, 2004. "Empirical Likelihood-Based Inference in Conditional Moment Restriction Models," Econometrica, Econometric Society, vol. 72(6), pages 1667-1714, November.
    7. Donald, Stephen G. & Imbens, Guido W. & Newey, Whitney K., 2003. "Empirical likelihood estimation and consistent tests with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 117(1), pages 55-93, November.
    8. Jian Zhang, 2003. "Sieve Empirical Likelihood and Extensions of the Generalized Least Squares," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(1), pages 1-24.
    9. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, vol. 34(3), pages 305-334, March.
    10. Severini, Thomas A. & Tripathi, Gautam, 2001. "A simplified approach to computing efficiency bounds in semiparametric models," Journal of Econometrics, Elsevier, vol. 102(1), pages 23-66, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yaroslav Mukhin, 2018. "Sensitivity of Regular Estimators," Papers 1805.08883, arXiv.org.

    More about this item

    Keywords

    Conditional moment restrictions; Empirical likelihood; Fisher information; Least favorable submodel.;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:koe:wpaper:1531. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kimiaki Shirahama). General contact details of provider: http://edirc.repec.org/data/fekobjp.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.