Many processes can be represented in a simple form as infinite-order linear series. In such cases, an approximate model is often derived as a truncation of the infinite-order process, for estimation on the finite sample. The literature contains a number of asymptotic distributional results for...

Many important models utilize estimation of average derivatives of the conditional mean function. Asymptotic results in the literature on density weighted average derivative estimators (ADE) focus on convergence at parametric rates; this requires making stringent assumptions on smoothness of the...

We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the characteristic equation are well away from the unit circle, and more substantial where one or more...

The paper discusses the choices of mathematical approaches in economics and econometrics, in particular, approaches that either (a) aim for a sharp result or (b) use the least restrictive assumptions. It is argued that, while the choice (a) often necessitates strong mathematical assumptions,...