Efficiency Bounds for Semiparametric Regression

Efficiency bounds for conditional moment restrictions with a nonparametric component are derived. There is a given function of the data (a random sample from a distribution F) and a parameter. The restriction is that a conditional expectation of this function is zero at some point in the parameter space. The parameter has two parts: a finite-dimensional component and a general function evaluated at a subset of the conditioning variables. An example is a regression function that is additive in parametric and nonparametric component, as arises in sample selection models.