The MD estimator (see Section 6.7) uses the restriction g ( ) = 0

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The MD estimator (see Section 6.7) uses the restriction πg(θ)=0. Suppose more generally that the restriction is h(θ,π)=0 and we estimate using the generalized MD estimator that minimizes QN(θ)=h(θ,π^)WNh(θ,π^). Adapt (6.68)(6.70) to show that (6.67) holds with G0=h(θ,π)/θ|θ0,,π0 and V[π^] replaced by H0V[π^]H0, where H0=h(θ,π)/π|θ0,π0.

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Microeconometrics Methods And Applications

ISBN: 9780521848053

1st Edition

Authors: A.Colin Cameron, Pravin K. Trivedi

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