Averaging of moment condition estimators

Xiaohong Chen (), David Jacho-Chávez and Oliver Linton

No CWP26/12, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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.

Keywords: Instrumental Variables; Minimum Distance; Semiparametric Efficiency; Two-Stage Least Squares (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
Date: 2012-09-21
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Working Paper: Averaging of moment condition estimators (2012)
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