Averaging of moment condition estimators
Xiaohong Chen (),
David Jacho-Chávez () and
Oliver Linton ()
No CWP26/12, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of vn- 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.
Keywords: Instrumental Variables; Minimum Distance; Semiparametric Efficiency; Two-Stage Least Squares (search for similar items in EconPapers)
JEL-codes: C12 C13 C14 (search for similar items in EconPapers)
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