Consistent Estimation of Models Defined by Conditional Moment Restrictions
提出一种新的、简单且一致的估计方法，直接基于条件矩定义，无需选择用户参数，且估计量渐近正态，适用于经济学中条件矩约束模型的估计。
In econometrics, models stated as conditional moment restrictions are typically estimated by means of the generalized method of moments (GMM). The GMM es-timation procedure can render inconsistent estimates since the number of arbitrarily chosen instruments is finite. In fact, consistency of the GMM estimators relies on addi-tional assumptions that imply unclear restrictions on the data generating process. This article introduces a new, simple and consistent estimation procedure for these models that is directly based on the definition of the conditional moments. The main feature of our procedure is its simplicity, since its implementation does not require the selec-tion of any user-chosen number, and statistical inference is straightforward since the proposed estimator is asymptotically normal. In addition, we suggest an asymptotically efficient estimator constructed by carrying out one Newton–Raphson step in the direc-tion of the efficient GMM estimator.