IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v25y2009i03p847-855_09.html
   My bibliography  Save this article

Efficiency Bounds For Semiparametric Estimation Of Inverse Conditional-Density-Weighted Functions

Author

Listed:
  • Jacho-Chávez, David T.

Abstract

Consider the unconditional moment restriction E[m(y, υ, w; π0)/fV|w (υ|w) −s (w; π0)] = 0, where m(·) and s(·) are known vector-valued functions of data (y┬, υ, w┬)┬. The smallest asymptotic variance that $\root \of n $-consistent regular estimators of π0 can have is calculated when fV|w(·) is only known to be a bounded, continuous, nonzero conditional density function. Our results show that “plug-in” kernel-based estimators of π0 constructed from this type of moment restriction, such as Lewbel (1998, Econometrica 66, 105–121) and Lewbel (2007, Journal of Econometrics 141, 777–806), are semiparametric efficient.

Suggested Citation

  • Jacho-Chávez, David T., 2009. "Efficiency Bounds For Semiparametric Estimation Of Inverse Conditional-Density-Weighted Functions," Econometric Theory, Cambridge University Press, vol. 25(3), pages 847-855, June.
    • Handle: RePEc:cup:etheor:v:25:y:2009:i:03:p:847-855_09
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466609090732/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yingying Dong & Arthur Lewbel, 2015. "A Simple Estimator for Binary Choice Models with Endogenous Regressors," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 82-105, February.
    2. Arthur Lewbel & Yingying Dong & Thomas Tao Yang, 2012. "Comparing features of convenient estimators for binary choice models with endogenous regressors," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(3), pages 809-829, August.
    3. Arthur Lewbel, 2012. "An Overview of the Special Regressor Method," Boston College Working Papers in Economics 810, Boston College Department of Economics.
    4. Ying-Ying Lee, 2015. "Interpretation and Semiparametric Efficiency in Quantile Regression under Misspecification," Econometrics, MDPI, vol. 4(1), pages 1-14, December.
    5. Arthur Lewbel & Yingying Dong & Thomas Tao Yang, 2012. "Viewpoint: Comparing features of convenient estimators for binary choice models with endogenous regressors," Canadian Journal of Economics, Canadian Economics Association, vol. 45(3), pages 809-829, August.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:25:y:2009:i:03:p:847-855_09. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.