Efficient Estimation in Models with Independence Restrictions
53 Pages Posted: 30 Mar 2015 Last revised: 24 Aug 2016
Date Written: March 7, 2016
Abstract
Unconditional or conditional independence restrictions are used in many econometric models to identify their parameters. However, there are few results about efficient estimation procedures for finite-dimensional parameters under these independence restrictions. This paper computes the efficiency bound for finite-dimensional parameters under independence restrictions, and proposes an estimator that is consistent, asymptotically normal and which achieves the efficiency bound. The estimator is based on a growing number of zero-covariance conditions that are asymptotically equivalent to the independence restriction. The results are illustrated with examples, including an instrumental variables regression model and partially linear regression models. A small Monte-Carlo study is performed to investigate the estimator’s small sample properties and to quantify the efficiency gains that can be made by using the proposed efficient estimator.
Keywords: Efficiency Bounds, Independence, Estimation
JEL Classification: C13, C14
Suggested Citation: Suggested Citation