A simple derivation of the efficiency bound for conditional moment restriction models
Economics Letters, 2016, vol. 138, issue C, 57-59
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)
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Working Paper: A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:138:y:2016:i:c:p:57-59
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