Efficient estimation of panel data models with sequential moment restrictions
研究在独立同分布观测下，如何有效估计具有序贯矩限制的面板数据模型，证明使用递增工具集的GMM估计量能达到半参数效率界，且允许未知形式的异方差。
This paper considers asymptotically efficient estimation of the panel data models with sequential moment restrictions in an environment with i.i.d. observations. It is shown that the GMM estimator with an increasing set of instruments attains the semiparametric efficiency bound of the model. The estimator considered here allows for the heteroscedasticity of the unknown form.