A method of moments interpretation of sequential estimators
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Under standard regularity conditions, sqrt N (βhat - β) is asymptotically normal with variance v given by the last element of the GMM variance expression.
“By Theorem 6.1 of Newey and McFadden (1994, cf. Newey, 1984), and under standard regularity conditions, √ N ( ˆ β -β ) a ∼ N (0 , v ), where v is the last element of”
From Two-stage differences in differences (2022) · cites this paper as Newey, 1984
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- Authors
- Newey, W. K.
- Affiliations
- Massachusetts Institute of Technology (US)
- Corresponding author
- Newey, Whitney K.
- Venue
- Economics Letters
- Publisher
- Elsevier BV
- Published
- 1984-01
- Volume
- 14
- Issue
- 2-3
- Pages
- 201-206
- ISSN
- 0165-1765 (ISSN-L)
- OpenAlex
- W2092349313
- Cited by
- 331
- References
- 3
- Citations by year
- 2026: 5 · 2025: 5 · 2024: 6 · 2023: 3 · 2022: 11 · 2021: 5 · 2020: 9 · 2019: 5 · 2018: 11 · 2017: 14 · 2016: 8 · 2015: 16 · 2014: 13 · 2013: 19 · 2012: 10
- FWCI
- 3.64
- Type
- journal article
- Language
- en
- Open access
- closed
- Locations
- Economics Letters (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- Topics
- Physical Sciences › Mathematics › Applied Mathematics › Statistical and numerical algorithms
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
- Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Economic theories and models
- Keywords
- method of moments, two-step estimator, rational expectations models
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