Asymptotic least‐squares estimation efficiency considerations and applications
渐近最小二乘估计的效率问题及应用
Abstract This paper is concerned with the large sample efficiency of the asymptotic least‐squares (ALS) estimators introduced by Gouriéroux, Monfort, and Trognon (1982, 1985) and Chamberlain (1982, 1984). We show how the efficiency of these estimators is affected when additional information is incorporated into the estimation procedure. The relationship between ALS and maximum likelihood is discussed. It is shown that ALS can be used to obtain asymptotically efficient…