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CONDITIONAL MOMENT RESTRICTIONS IN CENSORED AND TRUNCATED REGRESSION MODELS

Published online by Cambridge University Press:  25 September 2001

Whitney K. Newey
Affiliation:
Massachusetts Institute of Technology
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Abstract

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Censored and truncated regression models with unknown distribution are important in econometrics. This paper characterizes the class of all conditional moment restrictions that lead to √n-consistent estimators for these models. The semiparametric efficiency bound for each conditional moment restriction is derived. In the case of a nonzero bound it is shown how an estimator can be constructed and that an appropriately weighted version can attain the efficiency bound. These estimators also work when the disturbance is independent of the regressors. The paper discusses combining conditional moment restrictions for more efficient estimation in this case.

Information

Type
Research Article
Copyright
© 2001 Cambridge University Press