Working Paper

Averaging of moment condition estimators


Xiaohong Chen, David Jacho-Chávez, Oliver Linton

Published Date

21 September 2012


Working Paper (CWP26/12)

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.