Review of Economic Studies Vol. 81 No. 3 2014
Asymptotic Efficiency of Semiparametric Two-step GMM
Abstract
Many structural economics models are semiparametric ones in which the unknown nuisance functions are identified via non-parametric conditional moment restrictions with possibly non-nested or overlapping conditioning sets, and the finite dimensional parameters of interest are over-identified via unconditional moment restrictions involving the nuisance functions. In this article we characterize the semiparametric efficiency bound for this class of models. We show that semiparametric two-step optimally weighted GMM estimators achieve the efficiency bound, where the nuisance functions could be estimated via any consistent non-parametric methods 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.
- DOI
- 10.1093/restud/rdu011
- Volume
- 81
- Issue
- 3
- Pages
- 919-943
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref