Chapter 37
EMPIRICAL PROCESS METHODS
IN ECONOMETRICS
DONALD W.K. ANDREWS’
Co&s Foundation Yale University
Contents
Abstract
1. Introduction
2. Weak convergence and stochastic equicontinuity
3. Applications
3.1. Review of applications
3.2. Parametric M-estimators based on non-differentiable criterion functions
3.3. Tests when a nuisance parameter is present only under the alternative
3.4. Semiparametric estimation
4. Stochastic equicontinuity via symmetrization
4.1. Primitive conditions for stochastic equicontinuity
4.2. Examples
5. Stochastic equicontinuity via bracketing
6. Conclusion
Appendix
References
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