Efficiency Bounds for Semiparametric Regression

Gary Chamberlain

Econometrica, 1992, vol. 60, issue 3, 567-96

Abstract: Efficiency bounds for conditional moment restrictions with a nonparametric component are derived. There is a given function of the data (a random sample from a distribution F) and a parameter. The restriction is that a conditional expectation of this function is zero at some point in the parameter space. The parameter has two parts: a finite-dimensional component and a general function evaluated at a subset of the conditioning variables. An example is a regression function that is additive in parametric and nonparametric component, as arises in sample selection models. Copyright 1992 by The Econometric Society.

Date: 1992
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