Semiparametric Efficiency of GMM under Approximate Constraints
Statistics Theory
2010-11-24 v2 Statistics Theory
Abstract
Generalized empirical likelihood and generalized method of moments are well spread methods of resolution of inverse problems in econometrics. Each method defines a specific semiparametric model for which it is possible to calculate efficiency bounds. By this approach, we provide a new proof of Chamberlain's result on optimal GMM. We also discuss conditions under which GMM estimators remain efficient with approximate moment constraints.
Cite
@article{arxiv.1011.4881,
title = {Semiparametric Efficiency of GMM under Approximate Constraints},
author = {Paul Rochet},
journal= {arXiv preprint arXiv:1011.4881},
year = {2010}
}