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Theory"],"published-print":{"date-parts":[[2016,2]]},"abstract":"<jats:p>We establish the consistency and asymptotic normality for a class of estimators that are linear combinations of a set of<jats:inline-formula><jats:alternatives><jats:graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" orientation=\"portrait\" mime-subtype=\"gif\" mimetype=\"image\" position=\"float\" xlink:type=\"simple\" xlink:href=\"S0266466614000851_inline1\"\/><jats:tex-math>$\\sqrt n$<\/jats:tex-math><\/jats:alternatives><\/jats:inline-formula>-consistent nonlinear estimators whose cardinality increases with sample size. The method can be compared with the usual approaches of combining the moment conditions (GMM) and combining the instruments (IV), and achieves similar objectives of aggregating the available information. One advantage of aggregating the estimators rather than the moment conditions is that it yields robustness to certain types of parameter heterogeneity in the sense that it delivers consistent estimates of the mean effect in that case. We discuss the question of optimal weighting of the estimators.<\/jats:p>","DOI":"10.1017\/s0266466614000851","type":"journal-article","created":{"date-parts":[[2014,12,29]],"date-time":"2014-12-29T10:07:56Z","timestamp":1419847676000},"page":"30-70","source":"Crossref","is-referenced-by-count":15,"title":["AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS"],"prefix":"10.1017","volume":"32","author":[{"given":"Xiaohong","family":"Chen","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"David T.","family":"Jacho-Ch\u00e1vez","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Oliver","family":"Linton","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2014,12,29]]},"reference":[{"key":"S0266466614000851_ref66","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000169"},{"key":"S0266466614000851_ref67","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466614000176"},{"key":"S0266466614000851_ref65","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511610264.004"},{"key":"S0266466614000851_ref25","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2008.08.022"},{"key":"S0266466614000851_ref51","doi-asserted-by":"crossref","first-page":"449","DOI":"10.1016\/S1573-4412(83)01012-0","volume-title":"Handbook of Econometrics","volume":"1","author":"Phillips","year":"1983"},{"key":"S0266466614000851_ref48","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.05.007"},{"key":"S0266466614000851_ref35","doi-asserted-by":"crossref","first-page":"204","DOI":"10.1214\/aos\/1018031108","article-title":"Nonparametric model checks for time series","volume":"27","author":"Koul","year":"1999","journal-title":"Annals of Statistics"},{"key":"S0266466614000851_ref31","doi-asserted-by":"publisher","DOI":"10.2307\/1913643"},{"key":"S0266466614000851_ref45","first-page":"419","volume-title":"Handbook of Statistics","volume":"11","author":"Newey","year":"1993"},{"key":"S0266466614000851_ref34","doi-asserted-by":"publisher","DOI":"10.1080\/10485250701434007"},{"key":"S0266466614000851_ref63","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00151"},{"key":"S0266466614000851_ref19","doi-asserted-by":"publisher","DOI":"10.1016\/S0264-9993(03)00017-8"},{"key":"S0266466614000851_ref17","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2012.656041"},{"key":"S0266466614000851_ref59","doi-asserted-by":"publisher","DOI":"10.2307\/2526046"},{"key":"S0266466614000851_ref57","volume-title":"Efficient Estimation with A Priori Information","author":"Rothenberg","year":"1973"},{"key":"S0266466614000851_ref1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.05.010"},{"key":"S0266466614000851_ref56","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2004.01.001"},{"key":"S0266466614000851_ref43","doi-asserted-by":"publisher","DOI":"10.2307\/1913621"},{"key":"S0266466614000851_ref50","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2006.00692.x"},{"key":"S0266466614000851_ref15","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00238"},{"key":"S0266466614000851_ref10","doi-asserted-by":"publisher","DOI":"10.2307\/2951584"},{"key":"S0266466614000851_ref13","doi-asserted-by":"publisher","DOI":"10.2307\/1911188"},{"key":"S0266466614000851_ref26","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609990235"},{"key":"S0266466614000851_ref2","doi-asserted-by":"crossref","first-page":"2369","DOI":"10.3982\/ECTA9626","article-title":"Spare models and methods for optimal instruments with an application to eminent domain","volume":"80","author":"Belloni","year":"2012","journal-title":"Econometrica"},{"key":"S0266466614000851_ref8","doi-asserted-by":"crossref","DOI":"10.1515\/9781400830213","volume-title":"The Econometrics of Financial Markets","author":"Campbell","year":"1997"},{"key":"S0266466614000851_ref4","first-page":"99","volume-title":"Advances in Econometrics \u2013 Fifth World Congress of the Econometric Society, vol. 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