Kitamura, Yuichi; Tripathi, Gautam; Ahn, Hyungtaik - In: Econometrica 72 (2004) 6, pp. 1667-1714
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...