Chapter 36 Large sample estimation and hypothesis testing

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Specification Tests in Econometrics

1978 • 17,234 citations

Convergence of Probability Measures

1999 • 14,297 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Savitzky-Golay Smoothing Filters

1990 • 11,997 citations

Regression Quantiles

1978 • 10,648 citations

Convergence of Probability Measures

1969 • 7,189 citations

Robust Estimation of a Location Parameter

1964 • 6,342 citations

Approximation Theorems of Mathematical Statistics

1980 • 5,851 citations

Principles of mathematical analysis

1964 • 5,515 citations

The Common Structure of Statistical Models of Truncation, Sample Selection and Limited Dependent Variables and a Simple Estimator for Such Models

1976 • 5,019 citations

The behavior of maximum likelihood estimates under nonstandard conditions

1967 • 4,602 citations

Principles of mathematical analysis

1953 • 4,118 citations

Cox's Regression Model for Counting Processes: A Large Sample Study

1982 • 4,101 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

On the mathematical foundations of theoretical statistics

1922 • 3,786 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Proceedings of the fifth Berkeley symposium on mathematical statistics and probability.

1969 • 3,180 citations

Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability; Vol. IV

1969 • 2,901 citations

Applied nonparametric regression

1991 • 2,751 citations

Theory of Statistical Estimation

1925 • 2,696 citations

Specification Tests for the Multinomial Logit Model

1984 • 2,430 citations

Root-N-Consistent Semiparametric Regression

1988 • 2,390 citations

Econometric Issues in the Analysis of Regressions with Generated Regressors

1984 • 2,277 citations

Applied Nonparametric Regression

1990 • 2,107 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1984 • 2,013 citations

Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models

1982 • 1,846 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration

1989 • 1,675 citations

Hypothesis Testing with Efficient Method of Moments Estimation

1987 • 1,674 citations

Simulation and the Asymptotics of Optimization Estimators

1989 • 1,536 citations

Pseudo Maximum Likelihood Methods: Theory

1984 • 1,366 citations

Asymptotic Properties of Non-Linear Least Squares Estimators

1969 • 1,334 citations

Least absolute deviations estimation for the censored regression model

1984 • 1,298 citations

Statistical Estimation: Asymptotic Theory

2014 • 1,278 citations

Multivariate regression models for panel data

1982 • 1,231 citations

Approximation Theorems of Mathematical Statistics.

1981 • 1,227 citations

Regression Analysis when the Dependent Variable Is Truncated Normal

1973 • 1,147 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

Note on the Consistency of the Maximum Likelihood Estimate

1949 • 1,114 citations

Identification in Parametric Models

1971 • 1,021 citations

Asymmetric Least Squares Estimation and Testing

1987 • 952 citations

Semiparametric Estimation of Index Coefficients

1989 • 946 citations

Advanced econometrics

1988 • 944 citations

Maximum score estimation of the stochastic utility model of choice

1975 • 901 citations

Unanticipated Money Growth and Unemployment in the United States

1977 • 841 citations

Trimmed Lad and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects

1992 • 783 citations

Patents as Options: Some Estimates of the Value of Holding European Patent Stocks

1986 • 777 citations

Asymptotic efficiency in estimation with conditional moment restrictions

1987 • 761 citations

Empirical Processes: Theory and Applications

1990 • 749 citations

Generalized method of moments specification testing

1985 • 624 citations

A Time Series Analysis of Representative Agent Models of Consumption and Leisure Choice under Uncertainty

1988 • 621 citations

The Identification Problem in Econometrics.

1967 • 581 citations

Least Absolute Deviations: Theory, Applications and Algorithms

1984 • 567 citations

On Adaptive Estimation

1982 • 564 citations

Semiparametric efficiency bounds

1990 • 536 citations

Methods of Estimation for Markets in Disequilibrium

1972 • 511 citations

Symmetrically Trimmed Least Squares Estimation for Tobit Models

1986 • 425 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

What Economics Is Most Important to Teach: The Hansen Committee Report

1977 • 382 citations

The nonlinear two-stage least-squares estimator

1974 • 361 citations

A method of moments interpretation of sequential estimators

1984 • 337 citations

Uniform Convergence in Probability and Stochastic Equicontinuity

1991 • 322 citations

The Identification Problem in Econometrics

1967 • 318 citations

Generic Uniform Convergence

1992 • 303 citations

Convenient specification tests for logit and probit models

1984 • 300 citations

Empirical Process Methods in Econometrics

1993 • 299 citations

Consequences and Detection of Misspecified Nonlinear Regression Models

1981 • 289 citations

A characterization of limiting distributions of regular estimates

1970 • 280 citations

Two Stage and Related Estimators and Their Applications

1985 • 270 citations

Partially Adaptive Estimation of Regression Models via the Generalized T Distribution

1988 • 269 citations

Approximating the distributions of econometric estimators and test statistics

1984 • 249 citations

Adapting for Heteroscedasticity in Linear Models

1982 • 239 citations

Limit Theorems for Regressions with Unequal and Dependent Errors

1967 • 238 citations

The Asymptotic Effect of Substituting Estimators for Parameters in Certain Types of Statistics

1982 • 231 citations

Efficient Estimation with A Priori Information.

1974 • 228 citations

The Consistency of Nonlinear Regressions

1970 • 225 citations

A Method of Generating Best Asymptotically Normal Estimates with Application to the Estimation of Bacterial Densities

1958 • 207 citations

Testing for Neglected Heterogeneity

1984 • 206 citations

The Estimation of Relationships with Autocorrelated Residuals by the Use of Instrumental Variables

1959 • 200 citations

ON THE ASYMPTOTIC THEORY OF ESTIMATION AND TESTING HYPOTHESES

1956 • 195 citations

On Differentiable Functionals

1991 • 194 citations

Regression-based specification tests for the multinomial logit model

1987 • 194 citations

Adaptive Maximum Likelihood Estimators of a Location Parameter

1975 • 190 citations

Note on the Uniqueness of the Maximum Likelihood Estimator for the Tobit Model

1978 • 185 citations

A method for calculating bounds on the asymptotic covariance matrices of generalized method of moments estimators

1985 • 184 citations

Concavity of the Log Likelihood

1981 • 181 citations

The Elements of Integration.

1968 • 171 citations

Conditions for Identification in Nonparametric and Parametric Models

1988 • 170 citations

New Ways to Prove Central Limit Theorems

1985 • 159 citations

On unification of the asymptotic theory of nonlinear econometric models

1982 • 156 citations

The Stochastic Difference Between Econometric Statistics

1988 • 114 citations

On the behavior of inconsistent instrumental variable estimators

1982 • 103 citations

The Identification Problem in Systems Nonlinear in the Variables

1983 • 90 citations

Generalized Inverse Matrices

1972 • 89 citations

Specification testing when score test statistics are identically zero

1986 • 82 citations

Testing nested or non-nested hypotheses

1983 • 82 citations

The Asymptotic Efficiency of a Maximum Likelihood Estimator

1961 • 70 citations

On Regular Best Asymptotically Normal Estimates

1956 • 51 citations

Determination of Estimators with Minimum Asymptotic Covariance Matrices

1993 • 22 citations

The Asymptotic Variance of Semiparametric Estimators

1991 • 14 citations

LOCALLY EFFICIENT, RESIDUAL-BASED ESTIMATION OF NONLINEAR SIMULTANEOUS EQUATIONS

1990 • 10 citations

Asymptotic Properties of One-Step Estimator Obtained from an Optimal Step Size

1987 • 8 citations

On estimation with missing data

1982 • 2 citations

Smoothing bias in the measurement of marginal effects

1991 • 1 citations