A New Class of Asymptotically E¢ cient Estimators for Moment Condition Models

In this paper, we propose a new class of asymptotically e¢ cient estimators for moment condition models. These estimators share the same higher order bias properties as the generalized empirical likelihood estimators and once bias corrected, have the same higher order e¢ ciency properties as the bias corrected generalized empirical likelihood estimators. Unlike the generalized empirical likelihood estimators, our new estimators are much easier to compute. A small simulation study con…rms the superior properties of our proposed estimators. We are grateful to Eric Renault for drawing our attention to important references and for helpful discussions.