NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Efficiency bounds for missing data models with semiparametric restrictions

Bryan S. Graham

NBER Working Paper No. 14376
Issued in October 2008

---- Acknowledgements -----

I would like to thank Gary Chamberlain, Jinyong Hahn, Guido Imbens, Michael Jansson and Whitney Newey for comments on earlier draft. Helpful discussions with Oliver Linton, Cristine Pinto, Jim Powell, Geert Ridder as well as participants in the Berkeley Econometrics Reading Group and Seminars are gratefully acknowledged. This revision has benefited from Tom Rothenberg's skepticism, discussions with Michael Jansson, Justin McCrary, Jim Powell, the comments of a co-editor and three especially meticulous/generous anonymous referees. All the usual disclaimers apply. This is a heavily revised version of material which previously circulated under the titles "A note on semiparametric efficiency in moment condition models with missing data", "GMM 'equivalence' for semiparametric missing data models", and "Efficient estimation of missing data models using moment conditions and semiparametric restrictions". The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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