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

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… Expand

Large sample estimation and hypothesis testing

- W. Newey, D. McFadden
- Mathematics
- 1986

Asymptotic distribution theory is the primary method used to examine the properties of econometric estimators and tests. We present conditions for obtaining cosistency and asymptotic normality of a… Expand

Double/Debiased Machine Learning for Treatment and Structural Parameters

- V. Chernozhukov, D. Chetverikov, +4 authors J. Robins
- Mathematics
- 1 June 2017

We revisit the classic semiparametric problem of inference on a low dimensional parameter θ_0 in the presence of high-dimensional nuisance parameters η_0. We depart from the classical setting by… Expand

Automatic Lag Selection in Covariance Matrix Estimation

We propose a nonparametric method for automatically selecting the number of autocovariances to use in computing a heteroskedasticity and autocorrelation consistent covariance matrix. For a given… Expand

Convergence rates and asymptotic normality for series estimators

- W. Newey
- Mathematics
- 1 July 1997

Abstract This paper gives general conditions for convergence rates and asymptotic normality of series estimators of conditional expectations, and specializes these conditions to polynomial regression… Expand

Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators

- W. Newey, Richard J. Smith
- Mathematics
- 1 June 2003

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL),… Expand

The asymptotic variance of semiparametric estimators

- W. Newey
- Mathematics
- 1 November 1994

This paper derives a general formula for the asymptotic variance of semiparametric estimators that accounts for the presence of nonparametric estimators of functions. The general formula is… Expand

Instrumental variable estimation of nonparametric models

In econometrics there are many occasions where knowledge of the structural relationship among dependent variables is required to answer questions of interest. This paper gives identification and… Expand

Estimating vector autoregressions with panel data

- D. Holtz‐Eakin, W. Newey, H. Rosen
- Economics
- 1 November 1988

This paper considers estimation and testing of vector autoregressio n coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages an d hours worked in… Expand

Asymmetric Least Squares Estimation and Testing

This paper considers estimation and testing using location measures for regression m odels that are based on an asymmetric least-squares criterion functio n. These estimators have properties that are… Expand

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