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arXiv · 1011.4881

Semiparametric Efficiency of GMM under Approximate Constraints

Paul Rochet
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Abstract

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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Paul Rochet. 2010-11-22. Semiparametric Efficiency of GMM under Approximate Constraints. https://arxiv.org/abs/1011.4881

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