Semiparametric Efficiency of GMM under Approximate Constraints
Abstract
Generalized empirical likelihood and generalized method of moments are well spread methods of resolution of inverse problems in econometrics. Each method defines a specific semiparametric model for which it is possible to calculate efficiency bounds. By this approach, we provide a new proof of Chamberlain's result on optimal GMM. We also discuss conditions under which GMM estimators remain efficient with approximate moment constraints.
- Publication:
-
arXiv e-prints
- Pub Date:
- November 2010
- DOI:
- arXiv:
- arXiv:1011.4881
- Bibcode:
- 2010arXiv1011.4881R
- Keywords:
-
- Mathematics - Statistics Theory