Instrumental variables estimation with flexible distributions

Authors :: Hansen, Christian
McDonald, James B.
Newey, Whitney K.
Source :: Journal of Business & Economic Statistics. Jan, 2010, Vol. 28 Issue 1, p13, 13 p.
Publication Year :: 2010
Abstract: Efficiency gains achievable under moment conditions with nonlinear disturbances and based on flexible parametric families with error distributions are explored. Instrumental variables estimators can achieve the semiparametric efficiency bound when the true error distribution belongs to the parametric family.