{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,9,12]],"date-time":"2026-09-12T06:35:11Z","timestamp":1789194911917,"version":"build-2803163510"},"reference-count":57,"publisher":"Cambridge University Press (CUP)","issue":"2","license":[{"start":{"date-parts":[[2013,10,23]],"date-time":"2013-10-23T00:00:00Z","timestamp":1382486400000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2014,4]]},"abstract":"<jats:p>The efficiency of the generalized method of moment (GMM) estimator is addressed by using a characterization of its variance as an inner product in a reproducing kernel Hilbert space. We show that the GMM estimator is asymptotically as efficient as the maximum likelihood estimator if and only if the true score belongs to the closure of the linear space spanned by the moment conditions. This result generalizes former ones to autocorrelated moments and possibly infinite number of moment restrictions. Second, we derive the semiparametric efficiency bound when the observations are known to be Markov and satisfy a conditional moment restriction. We show that it coincides with the asymptotic variance of the optimal GMM estimator, thus extending results by Chamberlain (1987,<jats:italic>Journal of Econometrics<\/jats:italic>34, 305\u201333) to a dynamic setting. Moreover, this bound is attainable using a continuum of moment conditions.<\/jats:p>","DOI":"10.1017\/s0266466613000340","type":"journal-article","created":{"date-parts":[[2013,10,23]],"date-time":"2013-10-23T16:56:36Z","timestamp":1382547396000},"page":"372-406","source":"Crossref","is-referenced-by-count":25,"title":["ON THE ASYMPTOTIC EFFICIENCY OF GMM"],"prefix":"10.1017","volume":"30","author":[{"given":"Marine","family":"Carrasco","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jean-Pierre","family":"Florens","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2013,10,23]]},"reference":[{"key":"S0266466613000340_ref57","doi-asserted-by":"crossref","first-page":"405","DOI":"10.1214\/aos\/1033066217","article-title":"Quasi-likelihood models and optimal inference","volume":"24","author":"Wefelmeyer","year":"1996","journal-title":"Annals of Statistics"},{"key":"S0266466613000340_ref54","volume-title":"Almost Sure Convergence","author":"Stout","year":"1974"},{"key":"S0266466613000340_ref5","volume-title":"Probability and Measure","author":"Billingsley","year":"1995"},{"key":"S0266466613000340_ref45","first-page":"419","volume-title":"Handbook of Statistics","volume":"11","author":"Newey","year":"1993"},{"key":"S0266466613000340_ref19","doi-asserted-by":"crossref","first-page":"139","DOI":"10.1111\/j.2517-6161.1960.tb00361.x","article-title":"Estimation of parameters in time-series regression models","volume":"22","author":"Durbin","year":"1960","journal-title":"Journal of the Royal Statistical Society"},{"key":"S0266466613000340_ref48","first-page":"1","volume-title":"12th Biennial Seminar Canadian Mathematical Congress Proceedings","author":"Parzen","year":"1970"},{"key":"S0266466613000340_ref27","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/72.2.419"},{"key":"S0266466613000340_ref39","doi-asserted-by":"publisher","DOI":"10.2307\/2171942"},{"key":"S0266466613000340_ref28","doi-asserted-by":"publisher","DOI":"10.1002\/jae.3950080507"},{"key":"S0266466613000340_ref15","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466698142056"},{"key":"S0266466613000340_ref36","doi-asserted-by":"crossref","first-page":"262","DOI":"10.1080\/07350015.1996.10524656","article-title":"Finite-sample properties of some alternative GMM estimators","volume":"14","author":"Hansen","year":"1996","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466613000340_ref32","doi-asserted-by":"publisher","DOI":"10.2307\/1912775"},{"key":"S0266466613000340_ref50","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177700070"},{"key":"S0266466613000340_ref49","doi-asserted-by":"publisher","DOI":"10.1098\/rsta.1894.0003"},{"key":"S0266466613000340_ref20","volume-title":"Regularization of Inverse Problems","author":"Engl","year":"2000"},{"key":"S0266466613000340_ref26","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177705693"},{"key":"S0266466613000340_ref51","volume-title":"Integral Transforms, Reproducing Kernels and Their Applications","author":"Saitoh","year":"1997"},{"key":"S0266466613000340_ref52","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00092-0"},{"key":"S0266466613000340_ref31","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.05.006"},{"key":"S0266466613000340_ref56","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511802256"},{"key":"S0266466613000340_ref7","volume-title":"Analyse Fonctionnelle: Theorie et Applications","author":"Brezis","year":"2002"},{"key":"S0266466613000340_ref16","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511660092.006"},{"key":"S0266466613000340_ref21","doi-asserted-by":"publisher","DOI":"10.2307\/3315564"},{"key":"S0266466613000340_ref17","volume-title":"Introduction to Hilbert Spaces with Applications","author":"Debnath","year":"2005"},{"key":"S0266466613000340_ref8","doi-asserted-by":"publisher","DOI":"10.1111\/0034-6527.00310"},{"key":"S0266466613000340_ref3","volume-title":"Efficient and Adaptive Estimation for Semiparametric Models","author":"Bickel","year":"1993"},{"key":"S0266466613000340_ref10","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.07.013"},{"key":"S0266466613000340_ref37","doi-asserted-by":"publisher","DOI":"10.2307\/2971718"},{"key":"S0266466613000340_ref12","doi-asserted-by":"crossref","first-page":"5633","DOI":"10.1016\/S1573-4412(07)06077-1","volume-title":"Handbook of Econometrics","volume":"6B","author":"Carrasco","year":"2007"},{"key":"S0266466613000340_ref47","unstructured":"Parzen E . 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