Conditional moment restrictions in censored and truncated regression models

Censored and truncated regression models with unknown distribution are impo rtant in econometrics. This paper characterizes the class of all conditiona l moment restrictions that lead to rootn-consistent estimators for these mo dels, The semiparametric efficiency bound for each conditional moment restr iction is derived. In the case of a nonzero bound it is shown how an estima tor can be constructed and that an appropriately weighted version can attai n the efficiency bound. These estimators also work when the disturbance is independent of the regressors. The paper discusses combining conditional mo ment restrictions for more efficient estimation in this case.