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SEMIPARAMETRIC EFFICIENCY BOUNDS FOR CONDITIONAL MOMENT RESTRICTION MODELS WITH DIFFERENT CONDITIONING VARIABLES

Published online by Cambridge University Press:  15 April 2015

Marian Hristache  and
Valentin Patilea
Marian Hristache*
Affiliation:
CREST (Ensai)
Valentin Patilea
Affiliation:
CREST (Ensai) and Bucharest University of Economic Studies
*
*Address correspondence to Marian Hristache, CREST, Ecole Nationale de la Statistique et de l’Analyse de l’Information (Ensai), Campus de Ker-Lann, rue Blaise Pascal, BP 37203, 35172 Bruz cedex, France; e-mail: marian.hristache@ensai.fr.
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Abstract

This paper addresses the problem of semiparametric efficiency bounds for conditional moment restriction models with different conditioning variables. We characterize such an efficiency bound, that in general is not explicit, as a limit of explicit efficiency bounds for a decreasing sequence of unconditional (marginal) moment restriction models. An iterative procedure for approximating the efficient score when this is not explicit is provided. Our theoretical results provide new insight for the theory of semiparametric efficiency bounds literature and open the door to new applications. In particular, we investigate a class of regression-like (mean regression, quantile regression,…) models with missing data, an example of a supply and demand simultaneous equations model and a generalized bivariate dichotomous model.

Type
ARTICLES
Information
Econometric Theory , Volume 32 , Issue 4 , August 2016 , pp. 917 - 946
Copyright
Copyright © Cambridge University Press 2015 

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Footnotes

Valentin Patilea acknowledges financial support from the Romanian National Authority for Scientific Research, CNCS-UEFISCDI, Project PN-II-ID-PCE-2011-3-0893.

Author’s name has been corrected since original publication. An erratum notice detailing this change was also published.

References

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