A jackknife interpretation of the continuous updating estimator

By Stephen G. Donald, Whitney K. Newey. 2000

62 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/bf701878e5324fbe9ecdc16d8a1f26327af8be88

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Whitney K. Newey
2. Richard J. Smith
3. Norman R. Swanson
4. John C. Chao
5. Christian Hansen
6. Jushan Bai
7. Michael J. Kolesar
8. Susanne M. Schennach

In Statistics and Probability

1. Richard J. Smith
2. Whitney K. Newey
3. Norman R. Swanson
4. John C. Chao
5. Susanne M. Schennach
6. Xiaohong Chen
7. Arthur Lewbel
8. Victor Chernozhukov

Citations in the corpus

• GMM, GEL, Serial Correlation, and Asymptotic Bias (2005, unknown): “To better understand the sources of some bias components, we follow Donald and Newey (2000) and look at first order conditions (FOC).”
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators (2003, background): “3 Donald and Newey (2000) previously discussed the absence of Jacobian bias for the CUE.”
• Generalized Method of Moments (2005, unknown): “Donald and Newey (2000) show that the first order conditions of CUGMM take the form G̃T (θ)′ST (θ)−1gT (θ) = 0, where G̃T (θ)′ST (θ)−1 can be thought of as estimating the weights G(θ0)′W .”
• Estimation with Weak Instruments: Accuracy of Higher-order Bias and MSE Approximations (2004, unknown): “For κ = ^p/(l — we obtain a bias-adjusted version of 2SLS (B2SLS), which is Donald and Newey's (2001) modification of Nagar's (1959) estimator.”
• Estimation with Weak Instruments: Accuracy of Higher-Order Bias and MSE Approximations (2004, unknown): “For Nagar, JN2SLS, and JIVE, the approximate MSE is equal to 1−R2 nR2 +K 1 + ρ(2) n2 μ 1−R2 R2 ¶2 +O μ 1 n2 ¶ (8)”
• Consistent Estimation with a Large Number of Weak Instruments (2005, result): “As has been pointed out previously by a number of authors, including Donald and Newey (2000, 2001), estimators whose first-order conditions are well-centered, in the sense of having expectation close to zero, tend to exhibit less small sample bias than estimators whose first-order condition is not…”