International Fellows

Whitney K. Newey

MIT

Professor of Economics, Massachussets Institute of Technology

Selected Publications

Instrumental variable estimation with heteroskedasticity and many instruments

It is common practice in econometrics to correct for heteroskedasticity.This paper corrects instrumental variables estimators with […]

Jerry Hausman, Whitney K. Newey, Tiemen M. Woutersen, John Chao, Norman Swanson
1 September 2007 | CWP22/07

Latest version

Instrumental variable estimation with heteroskedasticity and many instruments
Jerry Hausman, Whitney K. Newey, Tiemen M. Woutersen, John Chao, Norman Swanson
25 July 2012 | Journal Article
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
20 August 2007 | CWP21/07

Latest version

Instrumental variables estimation with flexible distribution
Christian Hansen, James B. McDonald, Whitney K. Newey
1 January 2010 | Journal Article
Estimation with many instrumental variables

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

Christian Hansen, Jerry Hausman, Whitney K. Newey
29 September 2006 | CWP19/06

Latest version

Estimation with many instrumental variables
Christian Hansen, Jerry Hausman, Whitney K. Newey
3 October 2008 | Journal Article
GMM 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
6 December 2005 | CWP18/05

Latest version

Generalized method of moments with many weak moment conditions
Whitney K. Newey, Frank Windmeijer
31 May 2010 | Journal Article
Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators […]

Whitney K. Newey, Joaquim J. S. Ramalho Ramalho, Richard Smith
1 October 2005 | Journal Article

Previous version

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters
Whitney K. Newey, Joaquim J. S. Ramalho Ramalho, Richard Smith
1 December 2003 | CWP05/03
Jackknife and analytical bias reduction for nonlinear panel models

Fixed effects estimators of panel models can be severely biased because of the well-known incidental parameters […]

Jinyong Hahn, Whitney K. Newey
1 July 2004 | Journal Article

Previous version

Jackknife and analytical bias reduction for nonlinear panel models
Jinyong Hahn, Whitney K. Newey
1 October 2003 | CWP17/03
Higher order properties of GMM and generalised empirical likelihood estimators

In an effort to improve the small sample properties of generalized method of moments (GMM) estimators, […]

Whitney K. Newey, Richard Smith
1 January 2004 | Journal Article

Previous version

Higher order properties of GMM and generalised empirical likelihood estimators
Whitney K. Newey, Richard Smith
1 June 2003 | CWP04/03
Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters

This papers studies and compares the asymptotic bias of GMM and generalized empirical likelihood (GEL) estimators […]

Whitney K. Newey, Joaquim J. S. Ramalho Ramalho, Richard Smith
1 December 2003 | CWP05/03

Latest version

Asymptotic bias for GMM and GEL estimators with estimated nuisance parameters
Whitney K. Newey, Joaquim J. S. Ramalho Ramalho, Richard Smith
1 October 2005 | Journal Article
Jackknife and analytical bias reduction for nonlinear panel models

Fixed effects estimators of panel models can be severely biased because of the well-known incidental parameters […]

Jinyong Hahn, Whitney K. Newey
1 October 2003 | CWP17/03

Latest version

Jackknife and analytical bias reduction for nonlinear panel models
Jinyong Hahn, Whitney K. Newey
1 July 2004 | Journal Article
Higher order properties of GMM and generalised empirical likelihood estimators

In an effort to improve the small sample properties of generalized method of moments(GMM) estimators, a […]

Whitney K. Newey, Richard Smith
1 June 2003 | CWP04/03

Latest version

Higher order properties of GMM and generalised empirical likelihood estimators
Whitney K. Newey, Richard Smith
1 January 2004 | Journal Article