TY - JOUR AU - Liao, Zhipeng AB - Many structural economics models are semiparametric ones in which the unknown nuisance functions are identified via non-parametric conditional moment restrictions with possibly non-nested or overlapping conditioning sets, and the finite dimensional parameters of interest are over-identified via unconditional moment restrictions involving the nuisance functions. In this article we characterize the semiparametric efficiency bound for this class of models. We show that semiparametric two-step optimally weighted GMM estimators achieve the efficiency bound, where the nuisance functions could be estimated via any consistent non-parametric methods in the first step. Regardless of whether the efficiency bound has a closed form expression or not, we provide easy-to-compute sieve-based optimal weight matrices that lead to asymptotically efficient two-step GMM estimators. TI - Asymptotic Efficiency of Semiparametric Two-step GMM JF - The Review of Economic Studies DO - 10.1093/restud/rdu011 DA - 2014-07-14 UR - https://www.deepdyve.com/lp/oxford-university-press/asymptotic-efficiency-of-semiparametric-two-step-gmm-oKFJ7dXNEA SP - 919 EP - 943 VL - 81 IS - 3 DP - DeepDyve ER -