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EFFICIENCY BOUNDS FOR SEMIPARAMETRICESTIMATION OF INVERSE CONDITIONAL-DENSITY-WEIGHTEDFUNCTIONS

Published online by Cambridge University Press:  01 June 2009

David T. Jacho-Chávez
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Abstract

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Consider the unconditional moment restrictionE[m(y,υ, w;π0)/fV|w(υ|w)−s (w;π0)] = 0, wherem(·) and s(·) are knownvector-valued functions of data(y┬, υ,w┬)┬. Thesmallest asymptotic variance that $\root \of n $-consistent regularestimators ofπ0 canhave is calculated whenfV|w(·)is only known to be a bounded, continuous, nonzeroconditional density function. Our results show that“plug-in” kernel-based estimators ofπ0constructed from this type of moment restriction,such as Lewbel (1998, Econometrica66, 105–121) and Lewbel (2007, Journal ofEconometrics 141, 777–806), aresemiparametric efficient.

Information

Type
Brief Report
Information
Econometric Theory , Volume 25 , Issue 3 , June 2009, pp. 847 - 855
Copyright
Copyright © Cambridge University Press 2009

Footnotes

We thank the co-editor Richard Smith, twoanonymous referees, Francesco Bravo, Juan CarlosEscanciano, Javier Hidalgo, Kim Huynh, OliverLinton, and Pravin Trivedi for many helpfulcomments, corrections, and suggestions. The usualdisclaimers apply.

References

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