| Автор | Pötscher, Benedikt M. |
| Автор | R. Prucha, Ingmar |
| Дата выпуска | 1991 |
| dc.description | This is the second of two papers that provide an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature. The first paper, Pötscher and Prucha(1991), deals with consistency. In the present paper we discuss asymptotic normality. As an important ingredient to the asymptotic normality proof in dynamic nonlinear models we consider central limit theorems for dependent random variables. We also discuss the estimation of the variance covariance matrix of m-estimators under heteroscedasticity and autocorrelation. |
| Формат | application.pdf |
| Издатель | Marcel Dekker, Inc. |
| Копирайт | Copyright Taylor and Francis Group, LLC |
| Тема | dynamic nonlinear econometric models |
| Тема | least mean distance estimators |
| Тема | generalized method of moments estimators |
| Тема | asymptotic normality |
| Тема | central limit theorems |
| Тема | variance covariance matrix estimators |
| Тема | mixing processes |
| Название | Basic structure of the asymptotic theory in dynamic nonlinear econometric models |
| Тип | research-article |
| DOI | 10.1080/07474939108800209 |
| Electronic ISSN | 1532-4168 |
| Print ISSN | 0747-4938 |
| Журнал | Econometric Reviews |
| Том | 10 |
| Первая страница | 253 |
| Последняя страница | 325 |
| Аффилиация | Pötscher, Benedikt M.; Department of Economics, University of Maryland |
| Аффилиация | R. Prucha, Ingmar; Department of Economics, University of Maryland |
| Выпуск | 3 |
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