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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2015/1531.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.econ.kobe-u.ac.jp:443 (certificate verify failed) (http://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2015/1531.pdf [301 Moved Permanently]--> https://www.econ.kobe-u.ac.jp/RePEc/koe/wpaper/2015/1531.pdf)

Related works:
Journal Article: A simple derivation of the efficiency bound for conditional moment restriction models (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:koe:wpaper:1531

Access Statistics for this paper

More papers in Discussion Papers from Graduate School of Economics, Kobe University Contact information at EDIRC.
Bibliographic data for series maintained by Kimiaki Shirahama ( this e-mail address is bad, please contact ).