| Content | For econometric models defined by conditional moment restrictions, it is well known that the popular estimation methods such as the generalized method of moments and generalized empirical likelihood based on an arbitrary finite number of unconditional moment restrictions implied by
the conditional moment restrictions can render inconsistent estimates. To guarantee the estima tion consistency, some additional assumptions on these unconditional moment restrictions have to be levied. This paper introduces a simple consistent estimation procedure without assuming
identifying conditions on the implied unconditional moment restrictions. This procedure is based on a weighted L2 norm with a unique weighting function, where a full continuum of unconditional moment restrictions is employed. It is quite easy to implement for any dimension of condition ing variables, and no any user-chosen number is required. Furthermore statistical inference is
straightforward since the proposed estimator is asymptotically normal. Monte Carlo simulations
demonstrate that the new estimator has excellent finite sample properties and outperforms other
competitors in the cases we consider. |
