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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix

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W Newey… - 2000 - papers.ssrn.com
Abstract: This paper describes a simple method of calculating a heteroskedasticity and
autocorrelation consistent covariance matrix that is positive semi-definite by construction. It
also establishes consistency of the estimated covariance matrix under fairly general ...
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Large sample estimation and hypothesis testing

WK Newey, D McFadden - Handbook of econometrics, 1994 - Elsevier
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Estimating vector autoregressions with panel data

D Holtz-Eakin, W Newey… - Econometrica: Journal of the …, 1988 - JSTOR
This paper considers estimation and testing of vector autoregression coefficients in panel
data, and applies the techniques to analyze the dynamic relationships between wages and
hours worked in two samples of American males. The model allows for nonstationary ...
Cited by 1367 - Related articles - Get it from MIT Libraries - Library Search - All 8 versions

[BOOK] Advances in economics and econometrics: theory and applications, ninth World Congress

R Blundell, WK Newey… - 2006 - books.google.com
Page 1. ECONOMETRIC SOCIETY MONOGRAPHS Advances in Economics and
Econometrics Theory and Applications! Ninth World Congress, Volume I v ■•». ■ Edited
by Richard Blundell. Whitney K. Newey, and Torsten Persson Page 2.
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Hypothesis testing with efficient method of moments estimation

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WK Newey… - International Economic Review, 1987 - JSTOR
Page 1. INTERNATIONAL ECONOMIC REVIEW Vol. 28, No. 3, October, 1987
HYPOTHESIS TESTING WITH EFFICIENT METHOD OF MOMENTS ESTIMATION*
BY WHITNEY K. NEWEY AND KENNETH D. WEST' 1. INTRODUCTION ...
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Efficient estimation of limited dependent variable models with endogenous explanatory variables

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WK Newey - Journal of Econometrics, 1987 - Elsevier
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Maximum likelihood specification testing and conditional moment tests

WK Newey - Econometrica: Journal of the Econometric Society, 1985 - JSTOR
Page 1. Econometrica, Vol. 53, No. 5 (September, 1985) MAXIMUM LIKELIHOOD SPECIFICATION
TESTING AND CONDITIONAL MOMENT TESTS BY WHITNEY K. NEWEYI This paper examines
the detection of misspecification in the context of maximum likelihood models. ...
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Higher order properties of GMM and generalized empirical likelihood estimators

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WK Newey… - Econometrica, 2004 - Wiley Online Library
Page 1. Econometrica, Vol. 72, No. 1 (January, 2004), 219–255 HIGHER ORDER
PROPERTIES OF GMM AND GENERALIZED EMPIRICAL LIKELIHOOD
ESTIMATORS BY WHITNEY K. NEWEY AND RICHARD J. SMITH1 In ...
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Semiparametric efficiency bounds

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WK Newey - Journal of applied econometrics, 1990 - Wiley Online Library
Page 1. SEMIPARAMETRIC EFFICIENCY BOUNDS WHITNEY K. NEWEY Princeton
University and Bellcore, Department of Economics, Princeton University, Princeton,
NJ 08544, USA SUMMARY Semiparametric models are ...
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Instrumental variable estimation of nonparametric models

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WK Newey… - Econometrica, 2003 - Wiley Online Library
Page 1. Econometrica, Vol. 71, No. 5 (September, 2003), 1565–1578
INSTRUMENTAL VARIABLE ESTIMATION OF NONPARAMETRIC MODELS1 BY
WHITNEY K. NEWEY AND JAMES L. POWELL In econometrics there are ...
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The asymptotic variance of semiparametric estimators

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WK Newey - Econometrica: Journal of the Econometric Society, 1994 - JSTOR
Page 1. Econometrica, Vol. 62, No. 6 (November, 1994), 1349-1382 THE
ASYMPTOTIC VARIANCE OF SEMIPARAMETRIC ESTIMATORS BY WHITNEY
K. NEWEY 1 The purpose of this paper is the presentation of a general ...
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Nonparametric estimation of triangular simultaneous equations models

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WK Newey, JL Powell… - Econometrica, 1999 - Wiley Online Library
Page 1. Ž . Econometrica, Vol. 67, No. 3 May, 1999 , 565603 NONPARAMETRIC
ESTIMATION OF TRIANGULAR SIMULTANEOUS EQUATIONS MODELS BY
WHITNEY K. NEWEY, JAMES L. POWELL, AND FRANCIS VELLA 1 ...
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Choosing the number of instruments

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SG Donald, WK Newey - Econometrica, 2001 - Wiley Online Library
Page 1. Ž . Econometrica, Vol. 69, No. 5 September, 2001 , 11611191 CHOOSING
THE NUMBER OF INSTRUMENTS BY STEPHEN G. DONALD AND WHITNEY K.
NEWEY 1 Properties of instrumental variable estimators are ...
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Kernel estimation of partial means and a general variance estimator

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WK Newey - Econometric Theory, 1994 - Cambridge Univ Press
Page 1. Econometric Theory, 10, 1994, 233-253. Printed in the United States of America.
KERNEL ESTIMATION OF PARTIAL MEANS AND A GENERAL VARIANCE ESTIMATOR
WHITNEY K. NEWEY Massachusetts Institute of Technology ...
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A method of moments interpretation of sequential estimators

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WK Newey - Economics Letters, 1984 - Elsevier
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Efficient instrumental variables estimation of nonlinear models

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WK Newey - Econometrica: Journal of the Econometric Society, 1990 - JSTOR
Page 1. Econometrica, Vol. 58, No. 4 (July, 1990), 809-837 EFFICIENT
INSTRUMENTAL VARIABLES ESTIMATION OF NONLINEAR MODELS' BY WHITNEY
K. NEWEY This paper considers asymptotically efficient instrumental ...
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Convergence rates and asymptotic normality for series estimators

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WK Newey - Journal of Econometrics, 1997 - Elsevier
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Semiparametric estimation of selection models: some empirical results

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WK Newey, JL Powell… - The american economic review, 1990 - JSTOR
Page 1. Semiparametric Estimation of Selection Models: Some Empirical Results
By WHITNEY K. NEWEY, JAMES L. POWELL, AND JAMES R. WALKER* Among the
central theoretical develop- ments in the econometric analysis ...
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Nonparametric estimation of sample selection models

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M Das, WK Newey… - Review of Economic Studies, 2003 - Wiley Online Library
Skip to Main Content. ...
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Nonlinear errors in variables estimation of some Engel curves

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JA Hausman, WK Newey… - Journal of Econometrics, 1995 - Elsevier
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16 Efficient estimation of models with conditional moment restrictions

WK Newey - Handbook of statistics, 1993 - Elsevier
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Asymmetric least squares estimation and testing

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WK Newey… - Econometrica: Journal of the Econometric Society, 1987 - JSTOR
Page 1. Econometrica, Vol. 55, No. 4 (July, 1987), 819-847 ASYMMETRIC LEAST
SQUARES ESTIMATION AND TESTING BY WHITNEY K. NEWEY AND JAMES
L. POWELL' This paper considers estimation and hypothesis ...
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Nonparametric estimation of exact consumers surplus and deadweight loss

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JA Hausman, WK Newey - Econometrica: Journal of the Econometric …, 1995 - JSTOR
Page 1. Econometrica, Vol. 63, No. 6 (November, 1995), 1445-1476
NONPARAMETRIC ESTIMATION OF EXACT CONSUMERS SURPLUS AND
DEADWEIGHT LOSS BY JERRY A. HAUSMAN AND WHITNEY K. NEWEY1 We ...
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Partially adaptive estimation of regression models via the generalized t distribution

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JB McDonald… - Econometric theory, 1988 - Cambridge Univ Press
Page 1. Econometric Theory, 4, 1988, 428-457. Printed in the United States of America.
MODELS VIA THE GENERALIZED JAMES B. MCDONALD Brigham Young University
WHITNEY K. NEWEY Princeton University This paper ...
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Estimating exposure effects by modelling the expectation of exposure conditional on confounders

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JM Robins, SD Mark… - Biometrics, 1992 - JSTOR
Page 1. BIOMETRICS 48, 479-495 June 1992 Estimating Exposure Effects by Modelling
the Expectation of Exposure Conditional on Confounders James M. Robins and Steven
D. Mark Harvard School of Public Health, 665 Huntington ...
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[BOOK] Two-step series estimation of sample selection models

[PDF] from res.org.uk
WK Newey… - 1999 - res.org.uk
Page 1. Two step series estimation of sample selection models WHITNEY K. NEWEY%
/Department of Economics, E52"262D, Massachusetts Institute of Technology, 50
Memorial Drive, Cambridge, MA 02142, USA E#mail: wnewey ...
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Uniform convergence in probability and stochastic equicontinuity

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WK Newey - Econometrica, 1991 - JSTOR
Page 1. Econometrica, Vol. 59, No. 4 (July, 1991), 1161-1167 UNIFORM
CONVERGENCE IN PROBABILITY AND STOCHASTIC EQUICONTINUITY1 BY
WHITNEY K. NEWEY 1. INTRODUCTION CONDITIONS FOR UNIFORM ...
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Jackknife and analytical bias reduction for nonlinear panel models

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J Hahn… - Econometrica, 2004 - Wiley Online Library
Fixed effects estimators of panel models can be severely biased because of the well-known
incidental parameters problem. We show that this bias can be reduced by using a panel
jackknife or an analytical bias correction motivated by large T. We give bias corrections for ...
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Asymptotic bias for quasi-maximum-likelihood estimators in conditional heteroskedasticity models

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WK Newey… - Econometrica: Journal of the Econometric …, 1997 - JSTOR
Page 1. Econometrica, Vol. 65, No. 3 (May, 1997), 587-599 ASYMPTOTIC BIAS FOR
QUASI-MAXIMUM-LIKELIHOOD ESTIMATORS IN CONDITIONAL HETEROSKEDASTICITY
MODELS BY WHITNEY K. NEWEY AND DOUGLAS G. STEIGERWALD ...
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The revenues-expenditures nexus: evidence from local government data

D Holtz-Eakin, WK Newey… - 1989 - nber.org
... Douglas Holtz-Eakin Whitney Newey Harvey Rosen Working Paper No. ... differences in the
processes generating local and federal decisions. Douglas Holtz—Eakin Whitney Newey Harvey
Rosen Department of Economics Department of Economics Department of Economics ...
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Identification and estimation of polynomial errors-in-variables models

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JA Hausman, WK Newey, H Ichimura… - Journal of Econometrics, 1991 - Elsevier
Methods of estimation of regression coefficients are proposed when the regression function
includes a polynomial in a 'true' regressor which is measured wit.
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[PDF] Generalized method of moments, efficient bootstrapping, and improved inference

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BW Brown… - Journal of Business and Economic Statistics, 2002 - ASA
Page 1. Generalized Method of Moments, Efficient Bootstrapping, and Improved
Inference Bryan W. Brown Department of Economics, Rice University, Houston,
TX 77005 (bwbwn@rice.edu) Whitney K. Newey Department of ...
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Adaptive estimation of regression models via moment restrictions

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WK Newey - Journal of Econometrics, 1988 - Elsevier
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Empirical likelihood estimation and consistent tests with conditional moment restrictions

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SG Donald, GW Imbens… - Journal of Econometrics, 2003 - Elsevier
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Semiparametric efficient estimation of a conditional density with missing or mismeasured covariates

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JM Robins, F Hsieh… - Journal of the Royal Statistical Society. …, 1995 - JSTOR
Pepe and Fleming, and Carroll and Wand have recently proposed estimators in a parametric
model for the density of a random variable Y conditional on a vector of covariates (X, V)
when data on one of the regressors X is missing for some study subjects. We propose a ...
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Instrumental variable estimation of nonseparable models

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V Chernozhukov, GW Imbens… - Journal of Econometrics, 2007 - Elsevier
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Efficiency of weighted average derivative estimators and index models

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WK Newey, TM Stoker - Econometrica: Journal of the Econometric Society, 1993 - JSTOR
Page 1. Econometrica, Vol. 61, No. 5 (September, 1993), 1199-1223 EFFICIENCY
OF WEIGHTED AVERAGE DERIVATIVE ESTIMATORS AND INDEX MODELS1 BY
WHITNEY K. NEWEY AND THOMAS M. STOKER Weighted ...
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[PDF] Estimation with many instrumental variables

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C Hansen, J Hausman… - Journal of Business and Economic …, 2008 - ASA
Using many valid instrumental variables has the potential to improve efficiency but makes
the usual inference procedures inaccurate. We give corrected standard errors, an extension
of Bekker to nonnormal disturbances, that adjust for many instruments. We find that this ...
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Efficient estimation of linear and type I censored regression models under conditional quantile restrictions

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WK Newey… - Econometric Theory, 1990 - Cambridge Univ Press
Page 1. Econometric Theory, 6, 1990, 295-317. Printed in the United States of America.
EFFICIENT ESTIMATION OF LINEAR AND TYPE I CENSORED REGRESSION
MODELS UNDER CONDITIONAL QUANTILE RESTRICTIONS ...
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Over-identification tests in earnings functions with fixed effects

JD Angrist… - Journal of Business & Economic Statistics, 1991 - JSTOR
Page 1. Journal of Business & Economic Statistics, July 1991, Vol. 9, No. 3
Over-Identification Tests in Earnings Functions With Fixed Effects Joshua D. Angrist
Department of Economics, Harvard University, Cambridge, MA 02138 ...
Cited by 74 - Related articles - Get it from MIT Libraries - Library Search - All 6 versions

Efficient semiparametric estimation of expectations

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BW Brown… - Econometrica, 1998 - JSTOR
Page 1. Econ-onletrica, Vol. 66, No. 2 (March, 1998), 453-464 NOTES AND
COMMENTS EFFICIENT SEMIPARAMETRIC ESTIMATION OF EXPECTATIONS BY
BRYAN W. BROWN AND WHITNEY K. NEWEY1 1. INTRODUCTION ...
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Specification tests for distributional assumptions in the Tobit model

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WK Newey - Journal of Econometrics, 1987 - Elsevier
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[CITATION] Estimation in large samples

WK Newey, D McFadden - Handbook of econometrics, 1993 - Noth-Holland
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Efficient estimation and identification of simultaneous equation models with covariance restrictions

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JA Hausman, WK Newey… - Econometrica: Journal of the …, 1987 - JSTOR
Page 1. Econometrica, Vol. 55, No. 4 (July, 1987), 849-874 EFFICIENT ESTIMATION AND
IDENTIFICATION OF SIMULTANEOUS EQUATION MODELS WITH COVARIANCE
RESTRICTIONS' BY JERRY A. HAUSMAN, WHITNEY K. NEWEY, AND WILLIAM E. TAYLOR ...
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Nonparametric estimation with nonlinear budget sets

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S Blomquist… - Econometrica, 2002 - Wiley Online Library
Choice models with nonlinear budget sets provide a precise way of accounting for the
nonlinear tax structures present in many applications. In this paper we propose a
nonparametric approach to estimation of these models. The basic idea is to think of the ...
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A jackknife interpretation of the continuous updating estimator

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SG Donald, WK Newey - Economics Letters, 2000 - Elsevier
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[PDF] Asymptotic bias and equivalence of GMM and GEL estimators

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WK Newey… - DISCUSSION PAPER-UNIVERSITY OF BRISTOL …, 2001 - Citeseer
Page 1. Asymptotic Bias and Equivalence of GMM and GEL Estimators* Whitney K. Newey
Department of Economics MIT Richard J. Smith Department of Economics University of Bristol
First Draft: January 2000 This Revision: July 2000 Discussion Paper No. 01/517 Abstract ...
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Flexible simulated moment estimation of nonlinear errors-in-variables models

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WK Newey - Review of Economics and Statistics, 2001 - MIT Press
Page 1. FLEXIBLE SIMULATED MOMENT ESTIMATION OF NONLINEAR
ERRORS-IN-VARIABLES MODELS Whitney K. Newey Abstract—Nonlinear regression
with measurement error is important for estimation from microeconomic data. ...
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Sequential R&D strategy for synfuels

ML Weitzman, W Newey… - The Bell Journal of Economics, 1981 - JSTOR
The basic point of this article is that a" crash program" mentality leads to inappropriate
questions and wrong answers about policy issues in large-scale government subsidized
research, like the development of synfuels. R&D funding should be viewed as a ...
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Semiparametric estimation of limited dependent variable models with endogenous explanatory variables

WK Newey, WK Newey - Annales de l'INSEE, 1985 - JSTOR
Page 1. ANNALES DE L'INSEE - N- 59/60-1985 Semi parametric stimation of Li mited
Dependent Variable Models with Endogenous Explanatory Variables Whitney K.
NEWEY* This paper considers estimators of limited dependent ...
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Series estimation of regression functionals

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WK Newey - Econometric Theory, 1994 - Cambridge Univ Press
Page 1. Econometric Theory, 10, 1994, 1-28. Printed in the United States of America.
SERIES ESTIMATION OF REGRESSION FUNCTIONALS WHITNEY K. NEWEY
Massachusetts Institute of Technology Two-step estimators ...
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[CITATION] Convergence rates for series estimators

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WK Newey - 1993 - dspace.mit.edu
Page 1. Page 2. Page 3. Page 4. Digitized by the Internet Archive in 2011 with funding from Boston
Library Consortium Member Libraries http://www.archive.org/details/convergenceratesOOnewe
Page 5. working paper department of economics massachusetts institute of ...
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Implementing Causality Tests with Panel Data, with an Example from LocalPublic Finance

D Holtz-Eakin, WK Newey… - 1989 - nber.org
Page 1. NBER Workinq Paper Series No. 48, 1974 PROTECTION PND
COMPETITIVENESS IN EGYPTIAN AGRICTJLTUPE P1ND INDUSTRY by Bent Hansen
and Karim Nashashibi Contents I. Definitions II. Agriculture, ERPs and DRCs III. ...
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Generalized method of moments with many weak moment conditions

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WK Newey… - Econometrica, 2009 - Wiley Online Library
Page 1. Econometrica, Vol. 77, No. 3 (May, 2009), 687–719 GENERALIZED
METHOD OF MOMENTS WITH MANY WEAK MOMENT CONDITIONS BY WHITNEY
K. NEWEY AND FRANK WINDMEIJER1 Using many moment ...
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[PDF] Instrumental variable estimation with heteroskedasticity and many instruments

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J Hausman, WK Newey, T Woutersen, J Chao… - 2009 - econ.arizona.edu
Page 1. Instrumental Variable Estimation with Heteroskedasticity and Many Instruments∗ Jerry
A. Hausman Department of Economics MIT Whitney K. Newey Department of Economics MIT
Tiemen Woutersen Department of Economics University of Arizona John Chao ...
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Tax reform evaluation using non-parametric methods: Sweden 1980-1991

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S Blomquist, M Eklöf… - Journal of Public Economics, 2001 - Elsevier
This paper evaluates the tax reform carried out in Sweden between 1980 and 1991. We use
a recently developed non-parametric estimation technique to account for the labor supply
responses of married prime aged males. We decompose the tax reform to study how the ...
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Efficient estimation of Tobit models under conditional symmetry

WK Newey - … and semiparametric methods in econometrics and …, 1991 - books.google.com
Page 307. CHAPTER 12 Efficient estimation of Tobit models under conditional
symmetry Whitney K. Newey 1 Introduction Two important semiparametric models
are the censored and truncated regression models (known to ...
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Consistency of two-step sample selection estimators despite misspecification of distribution

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WK Newey - Economics Letters, 1999 - Elsevier
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[CITATION] Nonparametric instrumental variables estimation

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WK Newey… - Econometrica, 2003
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Choosing instrumental variables in conditional moment restriction models

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SG Donald, GW Imbens… - Journal of Econometrics, 2009 - Elsevier
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Two‐step series estimation of sample selection models

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WK Newey - The Econometrics Journal, 2009 - Wiley Online Library
Skip to Main Content. Wiley Online Library will be disrupted 5
Nov from 10-12 GMT for monthly maintenance. ...
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Twicing kernels and a small bias property of semiparametric estimators

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WK Newey, F Hsieh… - Econometrica, 2004 - Wiley Online Library
Page 1. Econometrica, Vol. 72, No. 3 (May, 2004), 947–962 TWICING KERNELS
AND A SMALL BIAS PROPERTY OF SEMIPARAMETRIC ESTIMATORS1 BY
WHITNEY K. NEWEY, FUSHING HSIEH, AND JAMES M. ROBINS ...
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Linear instrumental variable estimation of limited dependent variable models with endogenous explanatory variables

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WK Newey - Journal of Econometrics, 1986 - Elsevier
The purpose of this paper is to present and analyze an instrumental variables estimator for
limited dependent variable models that does not require functional f.
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Efficient semiparametric estimation via moment restrictions

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WK Newey - Econometrica, 2004 - Wiley Online Library
Page 1. Econometrica, Vol. 72, No. 6 (November, 2004), 1877–1897 EFFICIENT
SEMIPARAMETRIC ESTIMATION VIA MOMENT RESTRICTIONS BY WHITNEY
K. NEWEY1 Conditional moment restrictions can be combined ...
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[PDF] Identification and estimation of marginal effects in nonlinear panel models

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V Chernozhukov, I Fernández-Val, J Hahn… - Econometrica, 2009 - bu.edu
Abstract This paper gives identification and estimation results for marginal effects in
nonlinear panel models. We find that linear fixed effects estimators are not consistent, due in
part to marginal effects not being identified. We derive bounds for marginal effects and ...
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A large-sample Chow test for the linear simultaneous equation

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AW Lo… - Economics Letters, 1985 - Elsevier
A simple large-sample Chow test for stability of coefficients in a linear simultaneous
equation is proposed. It is shown that the appropriate test statistic may.
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NONPARAMETRIC CONTINUOUS/DISCRETE CHOICE MODELS*

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WK Newey - International Economic Review, 2007 - Wiley Online Library
Skip to Main Content. ...
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[PDF] Efficient estimation of semiparametric models via moment restrictions

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WK Newey - Unpublished manuscript, 1990 - princeton.edu
Page 1. EFFICIENT ESTIMATION OF SEMIPARAMETRIC MODELS VIA MOMENT
RESTRICTIONS Whitney К. Newey Princeton University and Bellcore Econometric
Research Program Research Memorandum No. 352 March ...
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A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix

WK Newey… - 1986 - nber.org
Page 1. NBER WORKING PAPER SERIES THE SOCIAL COSTS OF MONOPOLY
AND REGULATION Richard A. Posner* Working Paper No. 55 CENTER FOR
ECONOMIC ANALYSIS OF HUMAN BEHAVIOR AND SOCIAL ...
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[CITATION] Many instrument asymptotics

WK Newey - Unpublished Manuscript, Department of Economics, …, 2004
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[BOOK] Nonparametric estimation of labor supply functions generated by piece wise linear budget constraints

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NS Blomquist, WK Newey… - 1997 - nek.uu.se
Page 1. 1997-09-04 NONPARAMETRIC ESTIMATION OF LABOR SUPPLY
FUNCTIONS GENERATED BY PIECE WISE LINEAR BUDGET CONSTRAINTS by
Sören Blomquist* and Whitney Newey** ABSTRACT The basic idea ...
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Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

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WK Newey, JJS Ramalho… - Identification and Inference …, 2005 - books.google.com
Page 261. CHAPTER 11 Asymptotic Bias for GMM and GEL Estimators with Estimated
Nuisance Parameters Whitney K. Newey, Joaquim JS Ramalho, and Richard J. Smith
ABSTRACT This chapter studies and compares the ...
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Asymptotic distribution of JIVE in a heteroskedastic IV regression with many instruments

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JC Chao, NR Swanson, JA Hausman… - Econometric …, 2011 - Cambridge Univ Press
Page 1. Econometric Theory, 2011, Page 1 of 45. doi:10.1017/S0266466611000120
ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION
WITH MANY INSTRUMENTS JOHN C. CHAO University ...
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Conditional moment restrictions in censored and truncated regression models

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WK Newey - Econometric Theory, 2001 - Cambridge Univ Press
Page 1. CONDITIONAL MOMENT RESTRICTIONS IN CENSORED AND TRUNCATED
REGRESSION MODELS WHITNEY K. NEWEY Massachusetts Institute of Technology
Censored and truncated regression models with unknown ...
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Efficiency bounds for some semiparametric selection models

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WK Newey… - Journal of econometrics, 1993 - Elsevier
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Asymptotic equivalence of closest moments and GMM estimators

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WK Newey - Econometric Theory, 1988 - Cambridge Univ Press
Page 1. Econometric Theory, 4, 1988, 336-340. Printed in the United States of America.
Asymptotic Equivalence of Closest Moments and GMM Estimators WHITNEY K. NEWEY
Princeton University This note considers an asymptotic ...
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[CITATION] Nonparametric identification and estimation of non-separable models

V Chernozhukov, G Imbens… - Journal of Econometrics, forthcoming, 2006
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[CITATION] Maximum likelihood specification testing and instrumented score tests

WK Newey - unpublished MIT Ph. D. thesis, Cambridge, Mass, 1983
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[PDF] Many weak moment asymptotics for the continuously updated GMM estimator

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WK Newey - 2004 - emlab.berkeley.edu
Page 1. Many Weak Moment Asymptotics for the Continuously Updated GMM Estimator*
Whitney K. Newey Department of Economics MIT September 2004 Abstract Many
instruments can result in improved inference in weakly identified models. ...
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A comparison of partially adaptive and reweighted least squares estimation

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BH Boyer, JB McDonald… - Econometric Reviews, 2003 - Taylor & Francis
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Consistency of quasi-maximum likelihood estimators for models with conditional heteroskedasticity

W Newey… - 1998 - papers.ssrn.com
Abstract: Virtually all empirical studies that assume a time-varying conditional variance use a
quasi-maximum likelihood estimator (QMLE). If the density from which the likelihood is
constructed is assumed to be Gaussian, the QMLE is known to be consistent under correct ...
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[PDF] Many weak moment asymptotics for generalized empirical likelihood estimators

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WK Newey… - Department of Economics, MIT, 2005 - cemmap.ac.uk
Page 1. Many Weak Moment Asymptotics for Generalized Empirical Likelihood
Estimators Whitney K. Newey Department of Economics MIT Frank Windmeijer
cemmap Institute for Fiscal Studies January 2005 Abstract Many ...
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[CITATION] VLarge Sample Estimation and Hypothesis TestingV, Handbook of Econometrics, Volume IV, Chapter 36

WK Newey, D McFadden - 1994 - Elsevier Science
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Two-step estimation, optimal moment conditions, and sample selection models

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W Newey… - 2000 - papers.ssrn.com
Abstract: Two step estimators with a nonparametric first step are important, particularly for
sample selection models where the first step is estimation of the propensity score. In this
paper we consider the efficiency of such estimators. We characterize the efficient moment ...
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[CITATION] Choosing the number of instruments

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G Donald Stephen… - Econometrica, 2001
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[BOOK] Nearly Efficient Moment Restriction Estimation of Regression Models with Nonnormal Disturbances

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WK Newey, J Powell, H Pratt-Ferguson, K Singleton… - 1984 - princeton.edu
Page 1. NEARLY EFFICIENT MOMENT RESTRICTION ESTIMATION OF
REGRESSION MODELS WITH NONNORMAL DISTURBANCES Whitney K. Newey
Econometric Research Program Research Memorandum No. 315 ...
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[PDF] Instrumental variables estimation with flexible distributions

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C Hansen, JB McDonald… - Journal of Business and Economic …, 2010 - ASA
Page 1. Instrumental Variables Estimation With Flexible Distributions Christian
HANSEN Graduate School of Business, University of Chicago, Chicago, IL
60637-1610 (CHansen1@ChicagoBooth.edu) James B. MCDONALD ...
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[CITATION] K+(1991) Uniform convergence in probability and stochastic equicontinuity+

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W Newey - Econometrica
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[BOOK] The Asymptotic Variance of Semiparametric Estimators

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WK Newey… - 1989 - princeton.edu
Page 1. THE ASYMPTOTIC VARIANCE OF SEMIPARÄMETRIC ESTIMATORS Whitney
K. Newey Princeton University and BeilCore Econometrie Research Program Research
Memorandum No. 346 August 1989 Helpful comments ...
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[CITATION] aLarge Sample Estimation and Hypothesis Testing, bin Handbook of Econometrics, ed. RF Engle and DL McFadden. 2111c245

WK Newey - 1994 - Amsterdam: North# Holland
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[CITATION] qStochastic expansion for M&estimator, rMimeo

WK Newey - 2002
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Nonparametric estimation of exact consumer surplus and deadweight loss

JA Hausman, WK Newey - ECONOMETRIC SOCIETY …, 1998 - books.google.com
Page 127. CHAPTER 4 Nonparametric Estimation of Exact Consumer Surplus and Deadweight
Loss Jerry A. Hausman and Whitney K. Newey 1 Introduction Nonparametric estimation of
regression models has gained wide atten- tion in econometrics in the past few years. ...
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[CITATION] The Impact of Measurement Error on the Distribution of Income

LD Israelsen, JB McDonald… - … inequality: measurement and …, 1984 - Jai Pr
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[CITATION] Large Sample Estimation and Hypothesis Testing, volume 4 of Handbook of Econometrics

D McFadden… - 1994 - Elsevier
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[CITATION] Identification and estimation of marginal effects in nonlinear panel data models

V Chernozhukov, I Fernández-Val, J Hahn… - 2008 - CEMMAP Working Paper CWP25/08
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[CITATION] forthcoming, Identification and estimation of triangular simultaneous equations models without additivity

GW Imbens… - Econometrica
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ECONOMICS TO ECONOMETRICS: IN HONOR OF DANIEL L. McFADDEN*

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CF Manski… - International Economic Review, 2007 - Wiley Online Library
Skip to Main Content. ...
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[PDF] Alternative Asymptotics and the Partially Linear Model with Many Regressors

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MD Cattaneo, M Jansson… - 2010 - econ.berkeley.edu
Page 1. Alternative Asymptotics and the Partially Linear Model with Many Regressors∗
Matias D. Cattaneo† Michael Jansson‡ Whitney K. Newey§ July, 2010 Revised January,
2012 Abstract Non-standard distributional approximations ...
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[CITATION] rEffi cient Estimation of Limited Dependent Variable Models with Endogenous Explanatory Variables, sJournal of Econometrics

WK Newey - 1987 - XXXVI
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[CITATION] Nonlinear Errors in Variables: Estimation of Some Engel Curves

WK Newey… - Jacob Marschak Lecture of the Econometric Society, …, 1988
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