Asymptotic E ¢ ciency of Semiparametric Two-step GMM

Abstract

In this note, we characterize the semiparametric e¢ ciency bound for a class of semiparametric models in which the unknown nuisance functions are identi…ed via nonparametric conditional moment restrictions with possibly non-nested or over-lapping conditioning sets, and the …nite dimensional parameters are potentially over-identi…ed via unconditional moment… (More)

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