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Discussion Paper

Equivalence of the Higher-order Asymptotic Efficiency of k-step and Extremum Statistics

It is well known that a one-step scoring estimator that starts from any N1/2-consistent estimator has the same first-order asymptotic efficiency as the maximum likelihood estimator. This paper extends this result to k-step estimators and test statistics for k > 1, higher-order asymptotic efficiency, and general extremum estimators and test statistics.