Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions

Abstract

(iii) the estimator for the asymptotic covariance of the 0 estimator is consistent and easy to compute; and (iv) the optimally weighted minimum distance estimator of 0 attains the semiparametric efficiency bound. We illustrate our results with two examples: a partially linear regression with an endogenous nonparametric part, and a partially additive IV regression with a link function.