eprintid: 15927
rev_number: 10
eprint_status: archive
userid: 1482
importid: 105
dir: disk0/00/01/59/27
datestamp: 2014-07-09 17:45:11
lastmod: 2021-04-02 15:48:36
status_changed: 2014-07-09 17:45:11
type: article
succeeds: 1854
metadata_visibility: show
creators_name: Carrasco, Marine
creators_name: Florens, Jean-Pierre
creators_idrefppn: 177819650
creators_idrefppn: 02883755X
title: On the Asymptotic Efficiency of GMM
ispublished: pub
subjects: subjects_ECO
abstract: The efficiency of the generalized method of moment (GMM) estimator is addressed by using a characterization of its variance as an inner product in a reproducing kernel Hilbert space. We show that the GMM estimator is asymptotically as efficient as the maximum likelihood estimator if and only if the true score belongs to the closure of the linear space spanned by the moment conditions. This result generalizes former ones to autocorrelated moments and possibly infinite number of moment restrictions. Second, we derive the semiparametric efficiency bound when the observations are known to be Markov and satisfy a conditional moment restriction. We show that it coincides with the asymptotic variance of the optimal GMM estimator, thus extending results by Chamberlain (1987, Journal of Econometrics 34, 305–33) to a dynamic setting. Moreover, this bound is attainable using a continuum of moment conditions.
date: 2014-04
date_type: published
id_number: 10.1017/S0266466613000340
official_url: http://tse-fr.eu/pub/28223
faculty: tse
divisions: tse
language: en
has_fulltext: FALSE
doi: 10.1017/S0266466613000340
view_date_year: 2014
full_text_status: none
publication: Econometric Theory
volume: 30
number: 2
pagerange: 372-406
refereed: TRUE
oai_identifier: oai:tse-fr.eu:28223
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oai_lastmod: 2014-11-08T09:53:27Z
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oai_set: ut1c
site: ut1
citation:   Carrasco, Marine <https://www.idref.fr/177819650> and Florens, Jean-Pierre <https://www.idref.fr/02883755X>  (2014) On the Asymptotic Efficiency of GMM.    Econometric Theory, 30 (2).  pp. 372-406.