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Determination of Estimators with Minimum Asymptotic Covariance Matrices

Published online by Cambridge University Press:  11 February 2009

Charles E. Bates  and
Halbert White
Charles E. Bates
Affiliation:
KPMG Peat Marwick Policy Economics Group
Halbert White
Affiliation:
University of California, San Diego
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Abstract

We give a straightforward condition sufficient for determining the minimum asymptotic variance estimator in certain classes of estimators relevant to econometrics. These classes are relatively broad, as they include extremum estimation with smooth or nonsmooth objective functions; also, the rate of convergence to the asymptotic distribution is not required to be n−½. We present examples illustrating the content of our result. In particular, we apply our result to a class of weighted Huber estimators, and obtain, among other things, analogs of the generalized least-squares estimator for least Lp-estimation, 1 ≤ p < ∞.

Type
Articles
Information
Econometric Theory , Volume 9 , Issue 4 , August 1993 , pp. 633 - 648
Copyright
Copyright © Cambridge University Press 1993

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