Semiparametric Efficiency of GMM under Approximate Constraints
classification
🧮 math.ST
stat.TH
keywords
approximateconstraintsefficiencygeneralizedmethodsemiparametricunderapproach
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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.
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