Chapter 36 Large sample estimation and hypothesis testing
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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 and McFadden (1994)
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A method of moments interpretation of sequential estimators
Newey, W. K. (1984) · Economics Letters · doi:10.1016/0165-1765(84)90083-1 · Cited by 331 · see citing works
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- Authors
- Newey, W. K., & McFadden, D.
- Affiliations
- Massachusetts Institute of Technology (US)
- University of California, Berkeley (US)
- ORCID
- McFadden, Daniel
- Venue
- Handbook of Econometrics
- Publisher
- Elsevier
- Published
- 1994
- Pages
- 2111-2245
- ISSN
- 1573-4412 (ISSN-L)
- OpenAlex
- W1511751337
- Cited by
- 1,743
- References
- 3
- Citations by year
- 2026: 115 · 2025: 124 · 2024: 106 · 2023: 87 · 2022: 87 · 2021: 111 · 2020: 100 · 2019: 106 · 2018: 102 · 2017: 102 · 2016: 64 · 2015: 70 · 2014: 80 · 2013: 75 · 2012: 68
- FWCI
- 4.85
- Type
- book chapter
- Language
- en
- Open access
- closed
- Locations
- Handbook of econometrics (publishedVersion)
- Topics
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Causal Inference Techniques
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
- Keywords
- large-sample estimation, hypothesis testing, asymptotic distribution theory, extremum estimators, consistency, asymptotic normality, asymptotic variance estimation, asymptotic efficiency, maximum likelihood estimation, generalized method of moments, two-step estimator, test statistics
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