Affiliation:
1. Department of Economics Queen's University 94 University Ave, 209 Dunning Hall Kingston K7L 3N6 Ontario Canada
Abstract
AbstractThis paper considers transformations of nonlinear semi‐parametric mean functions that yield moment conditions for estimation. Such transformations are said to be information equivalent if they yield the same asymptotic efficiency bound. I derive a unified theory of algebraic equivalence for moment conditions created by a given linear transformation. The main equivalence result states that under standard regularity conditions, transformations that create conditional moment restrictions in a given empirical setting need only to have an equal rank to reach the same efficiency bound. I compare feasible and infeasible transformations of both nonlinear models with multiplicative heterogeneity and linear models with unobserved factor structures.
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability