Large sample estimation and hypothesis testing

By Whitney K. Newey, Daniel McFadden. 1986

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Citations in the corpus

The State of Applied Econometrics - Causality and Policy Evaluation (2016, neutral): “Since the early 1990s the potential outcome, or Neyman-Rubin Causal Model, approach to these problems has gained substantial acceptance as a framework for analyzing causal problems. (We should note, however, that there is a complementary approach based on graphical models (e.g., Pearl [2000]) that i”
Minimax Weight and Q-Function Learning for Off-Policy Evaluation (2019, background): “, replacing φ(s, a) with some basis functions for L–space and assuming that its dimension grows with some rate related to n and the data–generating process has some smoothness condition (Newey and Mcfadden, 1994).”
Intrinsically Efficient, Stable, and Bounded Off-Policy Evaluation for Reinforcement Learning (2019, neutral): “4 in [15], an uniform convergence condition: sup τ∈Θτ ,ζ∈Θτ |(Pn − P) {u(ζ1 + ζ2q(x, a; τ))}(2) | p → 0 is satisfied using an assumption (a1) and the fact from (a2) that u(ζ1+ζ2q(x, a; τ)) 2 is bounded uniformly over ζ ∈ R(2) and τ ∈ Θτ .”
Double Reinforcement Learning for Efficient Off-Policy Evaluation in Markov Decision Processes (2019, methodology): “Following Newey and Mcfadden (1994) and utilizing a high-order kernel, we can obtain similar fourth-root rates for Eq.”
Instrumental Variable Estimation with Heteroskedasticity and Many Instruments (2012, unknown): “This amounts to a modern version of method of moments interpretations of consistency that has now become common in econometrics (Amemiya (1973, 1984), Newey and McFadden (1994)).”
Long-Run Stockholder Consumption Risk and Asset Returns (2009, methodology): “We assess the joint significance of the α’s using the Gibbons, Ross, and Shanken (1989) F -statistic (GRS) and report the average absolute α and R2 across the 25 time-series regressions.”
A GENERAL DOUBLE ROBUSTNESS RESULT FOR ESTIMATING AVERAGE TREATMENT EFFECTS (2014, methodology): “(43) Using standard convergence results—for example, Newey and McFadden (1994) and Wooldridge (2010, Chap.”
Maximum likelihood estimation and inference methods for the covariance stationary panel AR(1)/unit root model (2008, methodology): “i=1 ∂q(Dyi; r) ∂r = 2(r − ρ)σ(2)(1− ρ(2)) (27)”
What Determines Government Spending Multipliers? (2012, unknown): “We aim to include the same 19 OECD countries studied by Perotti (1999), but due to data limitations (we require at least 20 consecutive annual observations to obtain reliable estimates for the fiscal policy rule in the first step) wind up with a sample of 17 countries: Australia, Austria, Belgium, C”
Quantile Regression with Clustered Data (2015, methodology): “LLN denotes the Khintchine’s Weak Law of Large Numbers, UWL denotes a uniform weak law of large numbers such as Lemma 2.4 of Newey and McFadden (1994), and CLT is the Lindeberg-Lévy central limit theorem.”
Assessing misspecified asset pricing models with empirical likelihood estimators (2012, unknown): “An alternative proof would be to use Lemma 1 in Hong, Preston and Shum (2003) to show that ; for all, θ ∈ Θ, and then invoke the Theorem of Newey and McFadden (1994) again but this time for the parameter vector estimator .”