Asymptotic Efficiency of Semiparametric Two-step GMM. (14th April 2014)

• Record Type: Journal Article
• Authors: Ackerberg, Daniel; Chen, Xiaohong; Hahn, Jinyong; Liao, Zhipeng
• Is Part Of: Review of economic studies. Volume 81:Number 3(2014:Jul.)
• Page Start: 919
• Page End: 943
• Publication Date: 2014-04-14
• Subjects: Overlapping information sets -- Semiparametric efficiency -- Two-step GMM; C14 -- C31 -- C32; Economics -- Periodicals; 330
• DOI: 10.1093/restud/rdu011
• Languages: English
• ISSNs: 0034-6527

Abstract

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.