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The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions

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  • Ai, Chunrong
  • Chen, Xiaohong
Abstract
This paper computes the semiparametric efficiency bound for finite dimensional parameters identified by models of sequential moment restrictions containing unknown functions. Our results extend those of Chamberlain (1992b) and Ai and Chen (2003) for semiparametric conditional moment restrictions with identical information sets to the case of nested information sets, and those of Chamberlain (1992a) and Brown and Newey (1998) for models of sequential moment restrictions without unknown functions to cases with unknown functions of possibly endogenous variables. Our results are applicable to semiparametric panel data models and two stage plug-in problems. As an important example, we compute the efficiency bound for a weighted average derivative of a nonparametric instrumental variables regression (NPIV), and find that simple plug-in NPIV estimators are not efficient. We present an optimally weighted, orthogonalized, sieve minimum distance estimator that achieves the semiparametric efficiency bound.

Suggested Citation

  • Ai, Chunrong & Chen, Xiaohong, 2012. "The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions," Journal of Econometrics, Elsevier, vol. 170(2), pages 442-457.
    • Handle: RePEc:eee:econom:v:170:y:2012:i:2:p:442-457
    DOI: 10.1016/j.jeconom.2012.05.015
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    More about this item

    Keywords

    Sequential moment models; Semiparametric efficiency bounds; Optimally weighted orthogonalized sieve minimum distance; Nonparametric IV regression; Weighted average derivatives; Partially linear quantile IV;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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