This paper proposes an asymptotically efficient method for estimating models with conditional moment restrictions. Our estimator generalizes the maximum empirical likelihood estimator (MELE) of Qin and Lawless (1994). Using a kernel smoothing method, we efficiently incorporate the information...

We show how to do efficient moment based inference using the generalized method of moments (GMM) when data is collected by stratified sampling and the maintained assumption is that the aggregate shares are known.

Many data sets used by economists and other social scientists are collected by stratified sampling. The sampling scheme used to collect the data induces a probability distribution on the observed sample that differs from the target or underlying distribution for which inference is to be made. If...

We test the assumption of conditional symmetry used to identify and estimate parameters in regression models with endogenous regressors without making any distributional assumptions. The specification test proposed here is computationally tractable, does not require nonparametric smoothing, and...