The DOI matches its Crossref record; 31 of the 31 references it cites were found in a registry or an index.
Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
Abstract
This paper provides a general framework for proving the "square root of" T-consistency and asymptotic normality of a wide variety of semiparametric estimators. The class of estimators considered consists of estimators that can be defined as the solution to a minimization problem based on a criterion function that may depend on a preliminary infinite dimensional nuisance parameter estimator. The method of proof exploits results concerning the stochastic equicontinuity of stochastic processes. The results are applied to the problem of semiparametric weighted least squares estimation of partially parametric regression models. Primitive conditions are given for "square root of" T-consistency and asymptotic normality of this estimator. Copyright 1994 by The Econometric Society.
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Cites
Convergence of Probability Measures
Billingsley, P. (1999) · Wiley Series in Probability and Statistics · doi:10.1002/9780470316962 · Cited by 13,910
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
Newey, W., & West, K. (1986) · National Bureau of Economic Research · doi:10.3386/t0055 · Cited by 12,278
Singular Integrals and Differentiability Properties of Functions.
Stein, E. M. (1971) · Cited by 10,183
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Self-citationHeteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Andrews, D. W. K. (1991) · Econometrica · doi:10.2307/2938229 · Cited by 4,030
Self-citationMartingale Limit Theory and its Application.
Loynes, R. M., Hall, P., & Heyde, C. C. (1984) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2981599 · Cited by 2,685
Root-N-Consistent Semiparametric Regression
Robinson, P. M. (1988) · Econometrica · doi:10.2307/1912705 · Cited by 2,475
Convergence of Stochastic Processes.
Robinson, P. M., & Pollard, D. (1985) · Economica · doi:10.2307/2553898 · Cited by 2,184
Optimal Global Rates of Convergence for Nonparametric Regression
Stone, C. J. (1982) · The Annals of Statistics · doi:10.1214/aos/1176345969 · Cited by 1,497
Asymptotic Theory for Econometricians.
Robinson, P. M., & White, H. (1988) · Economica · doi:10.2307/2554258 · Cited by 1,305
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Efficient Estimation of Models with Conditional Moment Restrictions Containing Unknown Functions
Ai, C., & Chen, X. (2003) · Econometrica · doi:10.1111/1468-0262.00470 · Cited by 726
Double/debiased machine learning for treatment and structural parameters
Newey, W. K., Hansen, C., Duflo, E., Robins, J., Chernozhukov, V., Demirer, M., & Chetverikov, D. (2017) · doi:10.1920/wp.cem.2017.2817 · Cited by 486
Estimation of semiparametric models when the criterion function is not smooth
Chen, X., Linton, O., & Van Keilegom, I. (2003) · Econometrica · doi:10.1111/1468-0262.00461 · Cited by 411
Program evaluation and causal inference with high-dimensional data
Belloni, A., Chernozhukov, V., Fern�ndez-Val, I., & Hansen, C. (2017) · Econometrica · doi:10.3982/ecta12723 · Cited by 317
Metadata
- Authors
- Andrews, D. W. K.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1994-01
- Volume
- 62
- Issue
- 1
- Pages
- 43
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1984547044
- Cited by
- 306
- References
- 31
- FWCI
- 5.81
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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