... of Theorem 12. 1, assume that the identification assumption (12. 11) holds Then a random vector, ^ ^ p y, solves problem (12. 8), and y ! yo A proof of Theorem 12. 2 is given in Newey and McFadden ... x 12: 43Þ While Hðw; yo Þ is generally a function of x and y, Aðx; y o Þ is a function only of x By the law of iterated expectations, E½Aðx; yo Þ ¼ E½Hðw; yo Þ ¼ Ao From Lemma 12. 1 and standard ... , Bo , Co , and , and can be estimated by using consistent estimators of Ao , Bo , and Co When we add assumption (12. 53), then the special versions of the Wald and LM statistics and the QLR...