Semiparametric Efficiency Bounds for Microeconometric Models: A Survey
Thomas A. Severini and
Gautam Tripathi ()
Foundations and Trends(R) in Econometrics, 2013, vol. 6, issue 3-4, 163-397
In this survey, we evaluate estimators by comparing their asymptotic variances. The role of the efficiency bound, in this context, is to give a lower bound to the asymptotic variance of an estimator. An estimator with asymptotic variance equal to the efficiency bound can therefore be said to be asymptotically efficient. These bounds are also useful for understanding how the features of a given model affect the accuracy of parameter estimation.
Keywords: Weak instruments; Linear simultaneous equation models; Instrument variables estimation; Large-sample asymptotic analysis; Finite-sample analysis; Hypothesis testing (search for similar items in EconPapers)
JEL-codes: C01 C14 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:now:fnteco:0800000019
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