Averaging of moment condition estimators

Xiaohong Chen, David Jacho-Chávez and Oliver Linton

No 26/12, CeMMAP working papers from Institute for Fiscal Studies

Abstract: We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n− consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied estimator in that case is shown to achieve the semiparametric efficiency bound. The proofs do not rely on smoothness of underlying criterion functions.

Date: 2012-09-21
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cemmap.ac.uk/wp-content/uploads/2020/08/CWP2612.pdf (application/pdf)

Related works:
Working Paper: Averaging of moment condition estimators (2012)
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:azt:cemmap:26/12

DOI: 10.1920/wp.cem.2012.2612

Access Statistics for this paper

More papers in CeMMAP working papers from Institute for Fiscal Studies Contact information at EDIRC.
Bibliographic data for series maintained by Dermot Watson ().