The central concern of the paper is with the formulation of tests of neglected parameter heterogeneity appropriate for model environments specified by a number of unconditional or conditional moment conditions. We initially consider the unconditional moment restrictions framework. Optimal...

This paper considers the first order large sample properties of the GEL class of estimators for models specified by non-smooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient GMM estimator which may suffer from substantial biases in...

Missing values are endemic in the data sets available to econometricians. This paper suggests a unified likelihood-based approach to deal with several nonignorable missing data problems for discrete choice models. Our concern is when either the dependent variable is unobserved or situations when...