Werker, Bas J.M.; Andreou, E. - Tilburg University, Center for Economic Research - 2004
This paper offers an alternative technique to derive the limiting distribution of residual-based statistics or, more … general, the limiting distribution of statistics with estimated nuisance parameters.This technique allows us to unify many … difficult to establish, e.g., rank-based statistics.We essentially replace this differentiability condition with a …