A Simple Derivation of the Efficiency Bound for Conditional Moment Restriction Models
No 1531, Discussion Papers from Graduate School of Economics, Kobe University
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)
Pages: 7 pages
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Journal Article: A simple derivation of the efficiency bound for conditional moment restriction models (2016)
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