The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...

The need to pay some attention to the issues of investment processes undertaken in enterprises and explore this topic is a direct result of the important role that enterprises play in the economy — with particular emphasis on the SMEs. From the company’s point of view, it is crucial to...

The need to pay some attention to the issues of investment processes undertaken in enterprises and explore this topic is a direct result of the important role that enterprises play in the economy — with particular emphasis on the SMEs. From the company’s point of view, it is crucial to...

Moment restriction semiparametric models, where both the dimension of parameter and the number of restrictions are divergent and an unknown function is involved, are studied using the generalized method of moments (GMM) and sieve method dealing with the nonparametric parameter. The consistency...

We consider nonlinear moment restriction semiparametric models where both the dimension of the parameter vector and the number of restrictions are divergent with sample size and an unknown smooth function is involved. We propose an estimation method based on the sieve generalized method of...

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

The principal purpose of this paper is to adapt to the conditional moment context the GEL unconditional moment methods described in Smith(1997, 2001) and Newey and Smith(2004). In particular we develop GEL estimators which achieve the semiparametric efficiency lower bound. The requisite GEL...

The primary concern of this article is the provision of definitions and tests for exogeneity appropriate for models defined through sets of conditional moment restrictions. These forms of exogeneity are expressed as additional conditional moment constraints and may be equivalently formulated as...

This paper describes a randomization-based inference procedure for the distribution or quantiles of potential outcomes for a binary treatment and instrument. The method imposes no parametric model for the treatment effect, and remains valid for small n, a weak instrument, or inference on tail...