Information Equivalence among Transformations of Semi‐parametric Nonlinear Panel Data Models

Nicholas Brown

Oxford Bulletin of Economics and Statistics, 2023, vol. 85, issue 6, 1341-1361

Abstract: This paper considers transformations of nonlinear semi‐parametric mean functions that yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I derive a unified theory of algebraic equivalence for moment conditions created by a given linear transformation. The main equivalence result states that under standard regularity conditions, transformations that create conditional moment restrictions in a given empirical setting need only to have an equal rank to reach the same efficiency bound. I compare feasible and infeasible transformations of both nonlinear models with multiplicative heterogeneity and linear models with unobserved factor structures.

Date: 2023
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