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

Naoya Sueishi

No 1531, Discussion Papers from 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.

Keywords: Conditional moment restrictions; Empirical likelihood; Fisher information; Least favorable submodel. (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2015-09
New Economics Papers: this item is included in nep-ecm
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Journal Article: A simple derivation of the efficiency bound for conditional moment restriction models (2016)
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