Information Equivalence among Transformations of Semi-parametric Nonlinear Panel Data Models*

IF 1.5 3区 经济学 Q2 ECONOMICS Oxford Bulletin of Economics and Statistics Pub Date : 2023-05-22 DOI:10.1111/obes.12569
Nicholas Brown
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引用次数: 0

Abstract

This 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.

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半参数非线性面板数据模型变换间的信息等价性*
本文研究具有矩条件的非线性半参数平均函数的变换。如果这些变换产生相同的渐近效率界,我们就说它们是信息等价的。我推导了由给定线性变换产生的力矩条件的代数等价的统一理论。主要等价结果表明,在标准正则性条件下,在给定的经验设置中创建条件矩限制的变换只需要具有相同的秩才能达到相同的效率界。我比较了具有乘法异质性的非线性模型和具有未观察因子结构的线性模型的可行和不可行的转换。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Oxford Bulletin of Economics and Statistics
Oxford Bulletin of Economics and Statistics 管理科学-统计学与概率论
CiteScore
5.10
自引率
0.00%
发文量
54
审稿时长
>12 weeks
期刊介绍: Whilst the Oxford Bulletin of Economics and Statistics publishes papers in all areas of applied economics, emphasis is placed on the practical importance, theoretical interest and policy-relevance of their substantive results, as well as on the methodology and technical competence of the research. Contributions on the topical issues of economic policy and the testing of currently controversial economic theories are encouraged, as well as more empirical research on both developed and developing countries.
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