Economics at your fingertips  


Whitney Newey

Econometric Theory, 2001, vol. 17, issue 5, 863-888

Abstract: 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.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link) ... type/journal_article link to article abstract page (text/html)

Related works:
Working Paper: Conditional Moment Restrictions in Censored and Truncated Regression Models (1999)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

Page updated 2020-03-29
Handle: RePEc:cup:etheor:v:17:y:2001:i:05:p:863-888_17