International Fellows

Whitney K. Newey

MIT

Professor of Economics, Massachussets Institute of Technology

Selected Publications

Properties of the CUE estimator and a modification with moments

In this paper, we analyze properties of the Continuous Updating Estimator (CUE) proposed by Hansen et […]

Jerry Hausman, Randall Lewis, Konrad Menzel, Whitney K. Newey
3 November 2011 | Journal Article
Tests for neglected heterogeneity in moment condition models

The central concern of the paper is with the formulation of tests of neglected parameter heterogeneity […]

Jinyong Hahn, Whitney K. Newey, Richard Smith
13 July 2011 | CWP26/11
Local identification of nonparametric and semiparametric models

In parametric models a sufficient condition for local identification is that the vector of moment conditions […]

Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
23 May 2011 | CWP17/11

Latest version

Local identification of nonparametric and semiparametric models
Xiaohong Chen, Victor Chernozhukov, Sokbae (Simon) Lee, Whitney K. Newey
14 November 2012 | CWP37/12
Generalized method of moments with many weak moment conditions

Using many moment conditions can improve efficiency but makes the usual GMM inferences inaccurate. Two step […]

Whitney K. Newey, Frank Windmeijer
31 May 2010 | Journal Article

Previous version

GMM with many weak moment conditions
Whitney K. Newey, Frank Windmeijer
6 December 2005 | CWP18/05
Instrumental variables estimation with flexible distribution

Instrumental variables are often associated with low estimator precision. This paper explores efficiency gains which might […]

Christian Hansen, James B. McDonald, Whitney K. Newey
1 January 2010 | Journal Article

Previous version

Instrumental variables estimation with flexible distribution
Christian Hansen, James B. McDonald, Whitney K. Newey
20 August 2007 | CWP21/07
Quantile and average effects in nonseparable panel models

This paper gives identification and estimation results for quantile and average effects in nonseparable panel models, […]

Victor Chernozhukov, Ivan Fernandez-Val, Whitney K. Newey
9 October 2009 | CWP29/09
Identification and estimation of marginal effects in nonlinear panel models

This paper gives identification and estimation results for marginal effects in nonlinear panel models. We find […]

Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn, Whitney K. Newey
2 March 2009 | CWP05/09

Latest version

Average and quantile effects in nonseparable panel models
Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn, Whitney K. Newey
31 March 2013 | Journal Article

Previous version

Identification and estimation of marginal effects in nonlinear panel models
Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn, Whitney K. Newey
23 September 2008 | CWP25/08
Estimation with many instrumental variables

Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference […]

Christian Hansen, Jerry Hausman, Whitney K. Newey
3 October 2008 | Journal Article

Previous version

Estimation with many instrumental variables
Christian Hansen, Jerry Hausman, Whitney K. Newey
29 September 2006 | CWP19/06
Identification and estimation of marginal effects in nonlinear panel models

This paper gives identification and estimation results for marginal effects in nonlinear panel models. We find […]

Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn, Whitney K. Newey
23 September 2008 | CWP25/08

Latest version

Identification and estimation of marginal effects in nonlinear panel models
Victor Chernozhukov, Ivan Fernandez-Val, Jinyong Hahn, Whitney K. Newey
2 March 2009 | CWP05/09
A reduced bias GMM-like estimator with reduced estimator dispersion

2SLS is by far the most-used estimator for the simultaneous equation problem. However, it is now […]

Jerry Hausman, Randall Lewis, Konrad Menzel, Whitney K. Newey
14 September 2007 | CWP24/07