EFFICIENCY BOUNDS FOR SEMIPARAMETRIC ESTIMATION OF INVERSE CONDITIONAL-DENSITY-WEIGHTED FUNCTIONS

David Jacho-Chávez

Econometric Theory, 2009, vol. 25, issue 3, 847-855

Abstract: Consider the unconditional moment restriction E[m(y, υ, w; π0)/fV|w (υ|w) −s (w; π0)] = 0, where m(·) and s(·) are known vector-valued functions of data (y┬, υ, w┬)┬. The smallest asymptotic variance that $\root \of n $-consistent regular estimators of π0 can have is calculated when fV|w(·) is only known to be a bounded, continuous, nonzero conditional density function. Our results show that “plug-in” kernel-based estimators of π0 constructed from this type of moment restriction, such as Lewbel (1998, Econometrica 66, 105–121) and Lewbel (2007, Journal of Econometrics 141, 777–806), are semiparametric efficient.

Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
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:cup:etheor:v:25:y:2009:i:03:p:847-855_09

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().