Chen, Xiaohong; Liao, Zhipeng; Sun, Yixiao - Cowles Foundation for Research in Economics, Yale University - 2012
The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we...
