An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables

This paper discusses some uses econometrics of functional limit theory for dependent random variables. Attention is focused on empirical process-type results rather than partial sum results that are prevalent in unit root econometrics. Examples considered include nonstandard parametric hypotheses tests and semiparametric estimation. The application of bracketing functional limit results is discussed in some detail.

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Year of publication:	1992-05
Authors:	Andrews, Donald W.K.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Hypothesis tests \| semiparametric estimation

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 837. Published in Econometric Review (1993), 12(2): 183-216 The price is None Number 1020 40 pages
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005634735