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Citations for "The Asymptotic Variance of Semiparametric Estimators"

by Newey, Whitney K

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  1. Yingyao Hu & Geert Ridder, 2012. "Estimation of nonlinear models with mismeasured regressors using marginal information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(3), pages 347-385, 04.
  2. Oliver Linton & Enno Mammen, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics 4426, London School of Economics and Political Science, LSE Library.
  3. Dennis Kristensen, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
  4. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2009. "Robust Data-Driven Inference for Density-Weighted Average Derivatives," CREATES Research Papers 2009-46, School of Economics and Management, University of Aarhus.
  5. Bertille Antoine & Eric Renault, 2012. "Efficient Inference with Poor Instruments: a General Framework," Discussion Papers dp12-04, Department of Economics, Simon Fraser University.
  6. G. Steven Olley & Ariel Pakes, 1992. "The Dynamics of Productivity in the Telecommunications Equipment Industry," NBER Working Papers 3977, National Bureau of Economic Research, Inc.
  7. Batarce, Marco & Ivaldi, Marc, 2014. "Urban travel demand model with endogenous congestion," Transportation Research Part A: Policy and Practice, Elsevier, vol. 59(C), pages 331-345.
  8. Sergio Firpo, 2004. "Efficient Semiparametric Estimation of Quantile Treatment Effects," Econometric Society 2004 North American Summer Meetings 605, Econometric Society.
  9. Susanne Schennach & Halbert White & Karim Chalak, 2007. "Local Indirect Least Squares and Average Marginal Effects in Nonseparable Structural Systems," Boston College Working Papers in Economics 680, Boston College Department of Economics, revised 26 Dec 2009.
  10. Hu, Yingyao, 2008. "Identification and estimation of nonlinear models with misclassification error using instrumental variables: A general solution," Journal of Econometrics, Elsevier, vol. 144(1), pages 27-61, May.
  11. Susanne M Schennach, 2007. "Instrumental Variable Estimation of Nonlinear Errors-in-Variables Models," Econometrica, Econometric Society, vol. 75(1), pages 201-239, 01.
  12. Hidehiko Ichimura & Sokbae Lee, 2010. "Characterization of the asymptotic distribution of semiparametric M-estimators," Post-Print hal-00741628, HAL.
  13. Aguirregabiria, Victor & Magesan, Arvind, 2013. "Euler Equations for the Estimation of Dynamic Discrete Choice Structural," MPRA Paper 46056, University Library of Munich, Germany.
  14. Abadie, Alberto, 2003. "Semiparametric instrumental variable estimation of treatment response models," Journal of Econometrics, Elsevier, vol. 113(2), pages 231-263, April.
  15. Jinyong Hahn & Geert Ridder, 2010. "The Asymptotic Variance of Semi-parametric Estimators with Generated Regressors," Textos para discussão 575, Department of Economics PUC-Rio (Brazil).
  16. Rothe, Christoph & Firpo, Sergio, 2013. "Semiparametric estimation and inference using doubly robust moment conditions," Textos para discussão 330, Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil).
  17. Arellano, Manuel & Carrasco, Raquel, 2003. "Binary choice panel data models with predetermined variables," Journal of Econometrics, Elsevier, vol. 115(1), pages 125-157, July.
  18. George-Levi Gayle & Christelle Viauroux, . "Root-N Consistent Semiparametric Estimators of a Dynamic Panel Sample Selection Model," GSIA Working Papers 2004-E62, Carnegie Mellon University, Tepper School of Business.
  19. Arthur Lewbel, 1999. "Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables," Boston College Working Papers in Economics 454, Boston College Department of Economics.
  20. Koen Jochmans, 2013. "Pairwise-comparison estimation with nonparametric controls," Sciences Po publications 2013-04, Sciences Po.
  21. Xiaohong Chen & Yanqin Fan, 2002. "Estimation of Copula-Based Semiparametric Time Series Models," Vanderbilt University Department of Economics Working Papers 0226, Vanderbilt University Department of Economics, revised Oct 2004.
  22. Frölich, Markus & Huber, Martin, 2014. "Treatment Evaluation with Multiple Outcome Periods under Endogeneity and Attrition," IZA Discussion Papers 7972, Institute for the Study of Labor (IZA).
  23. Cattaneo, Matias D., 2010. "Efficient semiparametric estimation of multi-valued treatment effects under ignorability," Journal of Econometrics, Elsevier, vol. 155(2), pages 138-154, April.
  24. Michael Lechner & Francois Laisney, 2002. "Almost Consistent Estimation of Panel Probit Models with 'Small' Fixed Effects," University of St. Gallen Department of Economics working paper series 2002 2002-15, Department of Economics, University of St. Gallen.
  25. Patrick Bajari & Han Hong & Ahmed Khwaja, 2006. "Moral Hazard, Adverse Selection and Health Expenditures: A Semiparametric Analysis," NBER Working Papers 12445, National Bureau of Economic Research, Inc.
  26. Rothe, Christoph, 2010. "Nonparametric estimation of distributional policy effects," Journal of Econometrics, Elsevier, vol. 155(1), pages 56-70, March.
  27. Arthur Lewbel, 2000. "Asymptotic Trimming for Bounded Density Plug-in Estimators," Boston College Working Papers in Economics 479, Boston College Department of Economics, revised 30 Oct 2000.
  28. Xiaohong Chen & Han Hong & Alessandro Tarozzi, 2008. "Semiparametric Efficiency in GMM Models of Nonclassical Measurement Errors, Missing Data and Treatment Effects," Cowles Foundation Discussion Papers 1644, Cowles Foundation for Research in Economics, Yale University.
  29. Christoph Rothe, 2012. "Partial Distributional Policy Effects," Econometrica, Econometric Society, vol. 80(5), pages 2269-2301, 09.
  30. Pakes, Ariel & Olley, Steven, 1995. "A limit theorem for a smooth class of semiparametric estimators," Journal of Econometrics, Elsevier, vol. 65(1), pages 295-332, January.
  31. Frölich, Markus, 2002. "Nonparametric IV Estimation of Local Average Treatment Effects with Covariates," IZA Discussion Papers 588, Institute for the Study of Labor (IZA).
  32. Melenberg, B. & Polbennikov, S.Y., 2005. "Testing for Mean-Coherent Regular Risk Spanning," Discussion Paper 2005-99, Tilburg University, Center for Economic Research.
  33. Juan Carlos Escanciano & David Jacho-Chavez & Arthur Lewbel, 2010. "Uniform Convergence of Weighted Sums of Non- and Semi-parametric Residuals for Estimation and Testing," Boston College Working Papers in Economics 756, Boston College Department of Economics, revised 31 Jan 2012.
  34. Arthur Lewbel & Linton, Oliver Linton, 1998. "Nonparametric Censored Regression," Cowles Foundation Discussion Papers 1186, Cowles Foundation for Research in Economics, Yale University.
  35. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
  36. Matias D. Cattaneo & Richard K. Crump & Michael Jansson, 2008. "Small Bandwidth Asymptotics for Density-Weighted Average Derivatives," CREATES Research Papers 2008-24, School of Economics and Management, University of Aarhus.
  37. Xiaohong Chen & Jinyong Hahn & Zhipeng Liao, 2012. "Asymptotic efficiency of semiparametric two-step GMM," CeMMAP working papers CWP31/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  38. Whang, Yoon-Jae & Linton, Oliver, 1999. "The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series," Journal of Econometrics, Elsevier, vol. 91(1), pages 1-42, July.
  39. Xiaohong Chen & Oliver Linton & Ingred Van Keilegom, 2002. "Estimation of semiparametric models when the criterion function is not smooth," CeMMAP working papers CWP02/02, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  40. Magnac, Thierry & Maurin, Eric, 2003. "Identification and Information in Monotone Binary Models," IDEI Working Papers 180, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2004.
  41. Firpo, Sergio, 2010. "Identification and Estimation of Distributional Impacts of Interventions Using Changes in Inequality Measures," IZA Discussion Papers 4841, Institute for the Study of Labor (IZA).
  42. Robert Breunig & Marn-Heong Wong, . "Australia's firm-level productivity -- a new perspective," Australasian Stata Users' Group Meetings 2004 2, Stata Users Group.
  43. Ai, Chunrong & Chen, Xiaohong, 2007. "Estimation of possibly misspecified semiparametric conditional moment restriction models with different conditioning variables," Journal of Econometrics, Elsevier, vol. 141(1), pages 5-43, November.
  44. Liang, Hua, 2006. "Estimation in partially linear models and numerical comparisons," Computational Statistics & Data Analysis, Elsevier, vol. 50(3), pages 675-687, February.
  45. Steven T. Berry & Philip A. Haile, 2009. "Identification of a Heterogeneous Generalized Regression Model with Group Effects," Cowles Foundation Discussion Papers 1732, Cowles Foundation for Research in Economics, Yale University.
  46. Arthur Lewbel & Oliver Linton, 2002. "Nonparametric Censored and Truncated Regression," Econometrica, Econometric Society, vol. 70(2), pages 765-779, March.
  47. Powell, James L. & Stoker, Thomas M., 1992. "Optimal bandwidth choice for density-weighted averages," Working papers 3424-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  48. Liu, Hong & Sun, Qi & Zhao, Zhong, 2013. "Social Learning and Health Insurance Enrollment: Evidence from China's New Cooperative Medical Scheme," IZA Discussion Papers 7251, Institute for the Study of Labor (IZA).
  49. Debopam Bhattacharya, 2013. "Nonparametric Welfare Analysis for Discrete Choice," Economics Series Working Papers 669, University of Oxford, Department of Economics.
  50. Sergio Firpo & Nicole M. Fortin & Thomas Lemieux, 2007. "Unconditional Quantile Regressions," NBER Technical Working Papers 0339, National Bureau of Economic Research, Inc.
  51. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series /2000/396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  52. Yiguo Sun, 2005. "Semiparametric Efficient Estimation of Partially Linear Quantile Regression Models," Annals of Economics and Finance, Society for AEF, vol. 6(1), pages 105-127, May.
  53. Arthur Lewbel & Daniel McFadden & Oliver Linton, 1997. "Estimating Features of a Distribution from Binomial Data," Boston College Working Papers in Economics 442, Boston College Department of Economics, revised 01 Jul 2010.
  54. Yingyao Hu & Geert Ridder, 2010. "On Deconvolution as a First Stage Nonparametric Estimator," Econometric Reviews, Taylor & Francis Journals, vol. 29(4), pages 365-396.
  55. Frölich, Markus & Huber, Martin, 2014. "Treatment evaluation with multiple outcome periods under endogeneity and attrition," Economics Working Paper Series 1404, University of St. Gallen, School of Economics and Political Science.
  56. Capobianco, Enrico, 2000. "Neural networks and statistical inference: seeking robust and efficient learning," Computational Statistics & Data Analysis, Elsevier, vol. 32(3-4), pages 443-454, January.
  57. Severini, Thomas A. & Tripathi, Gautam, 2012. "Efficiency bounds for estimating linear functionals of nonparametric regression models with endogenous regressors," Journal of Econometrics, Elsevier, vol. 170(2), pages 491-498.
  58. Ichimura, Hidehiko & Todd, Petra E., 2007. "Implementing Nonparametric and Semiparametric Estimators," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 74 Elsevier.
  59. Anastasia Semykina & Jeffrey M. Woodridge, 2010. "Estimating Panel Data Models in the Presence of Endogeneity and Selection," Working Papers wp2010_10_01, Department of Economics, Florida State University.
  60. Bo E. Honore & Arthur Lewbel, 1998. "Semiparametric Binary Choice Panel Data Models without Strictly Exogeneous Regressors," Boston College Working Papers in Economics 455, Boston College Department of Economics, revised 22 Sep 2001.
  61. Samy Ben Naceur and Mohamed Goaied, . "The Value Creation Process in the Tunisia Stock Exchange," API-Working Paper Series 9903, Arab Planning Institute - Kuwait, Information Center.
  62. Patrick Bajari & Han Hong, 2006. "Semiparametric Estimation of a Dynamic Game of Incomplete Information," NBER Technical Working Papers 0320, National Bureau of Economic Research, Inc.
  63. Alberto Abadie, 2000. "Semiparametric Estimation of Instrumental Variable Models for Causal Effects," NBER Technical Working Papers 0260, National Bureau of Economic Research, Inc.
  64. Tim Erickson & Ariel Pakes, 2011. "An Experimental Component Index for the CPI: From Annual Computer Data to Monthly Data on Other Goods," American Economic Review, American Economic Association, vol. 101(5), pages 1707-38, August.
  65. Patrick Bajari & Stephanie Houghton & Steve Tadelis, 2006. "Bidding for Incomplete Contracts: An Empirical Analysis," NBER Working Papers 12051, National Bureau of Economic Research, Inc.
  66. Debopam Bhattacharya & Pascaline Dupas & Shin Kanaya, 2013. "Estimating the Impact of Means-tested Subsidies under Treatment Externalities with Application to Anti-Malarial Bednets," Economics Series Working Papers 646, University of Oxford, Department of Economics.
  67. Manuel Arellano, 2003. "Discrete choices with panel data," Investigaciones Economicas, Fundación SEPI, vol. 27(3), pages 423-458, September.
  68. Chuan Goh, 2009. "Bootstrap-based Bandwidth Selection for Semiparametric Generalized Regression Estimators," Working Papers tecipa-375, University of Toronto, Department of Economics.
  69. Newey, Whitney K., 1997. "Convergence rates and asymptotic normality for series estimators," Journal of Econometrics, Elsevier, vol. 79(1), pages 147-168, July.
  70. Yoonseok Lee & Peter C.B. Phillips, 2013. "Model Selection in the Presence of Incidental Parameters," Center for Policy Research Working Papers 159, Center for Policy Research, Maxwell School, Syracuse University.
  71. Keisuke Hirano & Guido W. Imbens & Geert Ridder, 2003. "Efficient Estimation of Average Treatment Effects Using the Estimated Propensity Score," Econometrica, Econometric Society, vol. 71(4), pages 1161-1189, 07.
  72. Victor Aguirregabiria & Arvind Magesan, 2013. "Euler Equations for the Estimation of Dynamic Discrete Choice Structural Models," Working Papers tecipa-489, University of Toronto, Department of Economics.
  73. Bryan W. Brown, 2000. "Efficient Semiparametric Prediction Intervals," Econometric Society World Congress 2000 Contributed Papers 1633, Econometric Society.
  74. Prokhorov, Artem, 2008. "A goodness-of-fit test for copulas," MPRA Paper 9998, University Library of Munich, Germany.
  75. Geert Ridder & Yingyao Hu, 2004. "Estimation of Nonlinear Models with Measurement Error Using Marginal Information," Econometric Society 2004 North American Summer Meetings 21, Econometric Society.
  76. Gayle, Wayne-Roy & Namoro, Soiliou Daw, 2013. "Estimation of a nonlinear panel data model with semiparametric individual effects," Journal of Econometrics, Elsevier, vol. 175(1), pages 46-59.
  77. Arthur Lewbel & Susanne M. Schennach, 2003. "A Simple Ordered Data Estimator For Inverse Density Weighted Functions," Boston College Working Papers in Economics 557, Boston College Department of Economics, revised 01 May 2005.
  78. Ariel Pakes, 2008. "Theory and Empirical Work on Imperfectly Competitive Markets," NBER Working Papers 14117, National Bureau of Economic Research, Inc.
  79. Huber, Martin & Mellace, Giovanni, 2012. "Relaxing monotonicity in the identification of local average treatment effects," Economics Working Paper Series 1212, University of St. Gallen, School of Economics and Political Science.
  80. Li, Qi & Yang, Jian & Hsiao, Cheng & Chang, Young-Jae, 2005. "The relationship between stock returns and volatility in international stock markets," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 650-665, December.
  81. Armstrong, Timothy B. & Bertanha, Marinho & Hong, Han, 2014. "A fast resample method for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 179(2), pages 128-133.
  82. Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society.
  83. Cosslett, Stephen R., 2013. "Efficient semiparametric estimation for endogenously stratified regression via smoothed likelihood," Journal of Econometrics, Elsevier, vol. 177(1), pages 116-129.
  84. Powell, James L. & Stoker, Thomas M., 1996. "Optimal bandwidth choice for density-weighted averages," Journal of Econometrics, Elsevier, vol. 75(2), pages 291-316, December.
  85. Ot�vio Bartalotti, 2013. "GMM Efficiency and IPW Estimation for Nonsmooth Functions," Working Papers 1301, Tulane University, Department of Economics.
  86. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, School of Economics and Management, University of Aarhus.
  87. Christophe Muller & Tae-Hwan Kim, 2005. "Two-Stage Huber Estimation," Working Papers. Serie AD 2005-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  88. Ying-Ying Lee, 2014. "Partial Mean Processes with Generated Regressors: Continuous Treatment Effects and Nonseparable Models," Economics Series Working Papers 706, University of Oxford, Department of Economics.
  89. Gayle, Wayne-Roy, 2013. "Identification and N-consistent estimation of a nonlinear panel data model with correlated unobserved effects," Journal of Econometrics, Elsevier, vol. 175(2), pages 71-83.
  90. Alan Lee & Yuichi Hirose, 2010. "Semi-parametric efficiency bounds for regression models under response-selective sampling: the profile likelihood approach," Annals of the Institute of Statistical Mathematics, Springer, vol. 62(6), pages 1023-1052, December.
  91. Bryan S. Graham & James Powell, 2008. "Identification and Estimation of 'Irregular' Correlated Random Coefficient Models," NBER Working Papers 14469, National Bureau of Economic Research, Inc.
  92. Lewbel, Arthur & Schennach, Susanne M., 2007. "A simple ordered data estimator for inverse density weighted expectations," Journal of Econometrics, Elsevier, vol. 136(1), pages 189-211, January.
  93. Inkmann, J., 2005. "Inverse Probability Weighted Generalised Empirical Likelihood Estimators: Firm Size and R&D Revisited," Discussion Paper 2005-131, Tilburg University, Center for Economic Research.
  94. Cristian Huse, 2004. "Comparing Nonparametric Regression Quantiles," Econometric Society 2004 Latin American Meetings 165, Econometric Society.
  95. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
  96. Wilke, Ralf A., 2003. "Semiparametric Estimation of Regression Functions Under Shape Invariance Restrictions," ZEW Discussion Papers 03-64, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  97. Aprajit Mahajan, 2006. "Identification and Estimation of Regression Models with Misclassification," Econometrica, Econometric Society, vol. 74(3), pages 631-665, 05.
  98. Arthur Lewbel, 2005. "Simple Endogenous Binary Choice and Selection Panel Model Estimators," Boston College Working Papers in Economics 613, Boston College Department of Economics, revised 04 Sep 2006.