Ali, Chunrong; Linton, Oliver; Zhang, Zheng - 2018
the Generalized Method of Moments (hereafter GMM). Our method is consistent and asymptotically normal regardless of the … semiparametric efficiency bound derived in Morikawa and Kim (2016), but under weaker regularity conditions. More- over, our proposed … estimator and its consistent covariance matrix are easily computed with the widely available GMM package. We propose two data …
