A simplified approach to computing efficiency bounds in semiparametric models

Journal of Econometrics

Volumn 102, Issue 1, 2001, Pages 23-66

  Severini, Thomas A ^a   Tripathi, Gautam ^b  

^a NORTHWESTERN UNIVERSITY   (United States)

^b UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Efficiency bounds; Semiparametric models

Indexed keywords

EID: 0346977307     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(00)00090-7     Document Type: Article

References (30)

1. Bahadur, R., 1964. On Fisher's bound for asymptotic variances. Annals of Mathematical Statistics 35, 1545-1552.
2. Bickel, P., 1982. On adaptive estimation. The Annals of Statistics 10, 647-671.
3. Bickel, P., Klassen, C., Ritov, Y., Wellner, J., 1993. Efficient and Adaptive Estimation for Semiparametric Models. Johns Hopkins Press, Baltimore, MD.
4. Brown, B.W., Newey, W.K., 1998a. Efficient bootstrapping for semiparametric models. Manuscript.
5. Brown, B.W., Newey, W.K., 1998b. Efficient semiparametric estimation of expectations. Econometrica 66 (2), 453-464.
6. Chamberlain, G., 1986. Asymptotic efficiency in semiparametric models with censoring. Journal of Econometrics 32, 189-218.
7. Chamberlain, G., 1987. Asymptotic efficiency in estimation with conditional moment restrictions. Journal of Econometrics 34, 305-334.
8. Cosslett, S., 1987. Efficiency bounds for distribution free estimators of binary choice and censored regression models. Econometrica 55, 559-585.
9. Cuzick, J., 1992. Efficient estimates in semiparametric additive regression models with unknown error distribution. The Annals of Statistics 20 (2), 1129-1136.
10. Gijbels, I., 1999. Density Estimation and Applications. In: Lopes, N.M., Gonçalves, E. (Eds.), On Nonparametric and Semiparametric Statistics, Centro Internacional de Matematica, Portugal, Vol. 10.
11. Good, I., Gaskins, R., 1971. Nonparametric roughness penalties for probability densities. Biometrika 58, 255-277.
12. Hall, P., Horowitz, J.L., 1996. Bootstrap critical values for tests based on generalized method of moments estimators. Econometrica 64, 891-916.
13. Hansen, L.P., 1982. Large sample properties of generalized methods of moments estimators. Econometrica 50, 1029-1054.
14. Härdle, W., Stoker, T., 1989. Investigating smooth multiple regression by the method of average derivatives. Journal of the American Statistical Association 84, 986-995.
15. Klein, R.W., Spady, R.H., 1993. An efficient semiparametric estimator for binary response models. Econometrica 61 (2), 387-421.
16. Krabs, W., 1979. Optimization and Approximation. Wiley, New York.
17. Luenberger, D.G., 1969. Optimization by Vector Space Methods. Wiley, New York.
18. Newey, W.K., 1990. Semiparametric efficiency bounds. Journal of Applied Econometrics 5, 99-135.
19. Newey, W.K., McFadden, D., 1994. Large sample estimation and hypothesis testing. In: Engle, R., McFadden, D. (Eds.), Handbook of Econometrics, Vol. IV. Elsevier Science B.V., Amsterdam, pp. 2111-2245.
20. Newey, W.K., Stoker, T.M., 1993. Efficiency of weighted average derivative estimators and index models. Econometrica 61 (5), 1199-1223.
21. Powell, J.L., Stock, J.H., Stoker, T.M., 1989. Semiparametric estimation of index coefficients. Econometrica 57 (6), 1403-1430.
22. Ritov, Y., Bickel, P.J., 1990. Achieving information bounds in non and semiparametric models. Annals of Statistics 18, 925-938.
23. Rothenberg, T.J., 1971. Identification in parametric models. Econometrica 39 (3), 577-591.
24. Rudin, W., 1974. Real and Complex Analysis. McGraw-Hill, New York.
25. Samarov, A., 1990. On asymptotic efficiency of average derivative estimates. In: Roussas, G. (Ed.), Nonparametric Functional Estimation and Related Topics, NATO ASI Series, Series C, Vol. 335. Kluwer Academic Publishers, New York, pp. 167-172.
26. Stein, C., 1956. Efficient nonparametric testing and estimation. Proceedings of the third Berkeley Symposium on Mathematical Statistics and Probability, Vol. 1, University of California Press, Berkeley, CA, pp. 187-195.
27. Tripathi, G., 1999. Local semiparametric efficiency bounds under shape restrictions. Econometric Theory, forthcoming.
28. van der Vaart, A., 1989. On the asymptotic information bound. The Annals of Statistics 17 (4), 1487-1500.
29. Wong, W.H., Severini, T.A., 1991. On maximum likelihood estimation in infinite dimensional parameter spaces. The Annals of Statistics 19 (2), 603-632.
30. Zhang, B., 1999. Bootstrapping with auxiliary information. The Canadian Journal of Statistics 27, 237-249.