Asymptotic efficiency of semiparametric two-step GMM

Xiaohong Chen and Jinyong Hahn

No 31/12, CeMMAP working papers from Institute for Fiscal Studies

Abstract: In this note, we characterise the semiparametric efficiency bound for a class of semiparametric models in which the unknown nuisance functions are identified via nonparametric conditional moment restrictions with possibly non-nested or over-lapping conditioning sets, and the finite dimensional parameters are potentially over-identified via unconditional moment restrictions involving the nuisance functions. We discover a surprising result that semiparametric two-step optimally weighted GMM estimators achieve the efficiency bound, where the nuisance functions could be estimated via any consistent non-parametric procedures in the first step. Regardless of whether the efficiency bound has a closed form expression or not, we provide easy-to-compute sieve based optimal weight matrices that lead to asymptotically efficient two-step GMM estimators.

Date: 2012-10-15
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Related works:
Journal Article: Asymptotic Efficiency of Semiparametric Two-step GMM (2014)
Working Paper: Asymptotic efficiency of semiparametric two-step GMM (2014)
Working Paper: Asymptotic efficiency of semiparametric two-step GMM (2014)
Working Paper: Asymptotic Efficiency of Semiparametric Two-step GMM (2012)
Working Paper: Asymptotic efficiency of semiparametric two-step GMM (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:azt:cemmap:31/12

DOI: 10.1920/wp.cem.2012.3112

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