Averaging of moment condition estimators

Xiaohong Chen
David Jacho-Chávez
Oliver Linton

Published on 21 September 2012

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √ n− consistent estimators whose cardinality increases with sample size.

Research methods
Methods

We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of √n− consistent estimators whose cardinality increases with sample size. A special case of our framework corresponds to the conditional moment restriction and the implied estimator in that case is shown to achieve the semiparametric efficiency bound. The proofs do not rely on smoothness of underlying criterion functions.