Asymptotic efficiency of semiparametric two-step GMM

DOI10.1093/RESTUD/RDU011MaRDI QIDQ4610671zbMATH OpenOpenAlexFDO

Authors Daniel A. Ackerberg, Xiaohong Chen, Jinyong Hahn, Zhipeng Liao

Publication date 23 January 2019

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/111377

zbMATH Keywords

overlapping information setssemiparametric efficiencytwo-step GMM

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20)

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Cited in

(19)

• Efficient two-step estimation via targeting
• Two-step semiparametric empirical likelihood inference
• Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions
• Finite-sample corrected inference for two-step GMM in time series
• Sieve semiparametric two-step GMM under weak dependence
• Two-step combined nonparametric likelihood estimation of misspecified semiparametric models
• Efficient semiparametric copula estimation of regression models with endogeneity
• The semiparametric efficiency bound for models of sequential moment restrictions containing unknown functions
• Efficient estimation of a triangular system of equations for quantile regression
• Using monotonicity restrictions to identify models with partially latent covariates
• Debiased machine learning of set-identified linear models
• Locally Robust Semiparametric Estimation
• An averaging estimator for two-step m-estimation in semiparametric models
• Robust inference for moment condition models without rational expectations
• Efficient and Robust Estimation of the Generalized LATE Model
• Efficient Estimation of Parameters in Marginals in Semiparametric Multivariate Models
• Difference-in-differences with compositional changes
• Generalized Lee bounds
• Augmented two-step estimating equations with nuisance functionals and complex survey data

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