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Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays

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  • Hansen, Bruce E.

Abstract

This paper establishes stochastic equicontinuity for classes of mixingales. Attention is restricted to Lipschitz-continuous parametric functions. Unlike some other empirical process theory for dependent data, our results do not require bounded functions, stationary processes, or restrictive dependence conditions. Applications are given to martingale difference arrays, strong mixing arrays, and near epoch dependent arrays.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 12 (1996)
Issue (Month): 02 (June)
Pages: 347-359

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Handle: RePEc:cup:etheor:v:12:y:1996:i:02:p:347-359_00

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  1. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  2. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-58, November.
  3. Andrews, Donald W.K., 1988. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Econometric Theory, Cambridge University Press, vol. 4(03), pages 458-467, December.
  4. Donald W.K. Andrews, 1992. "An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables," Cowles Foundation Discussion Papers 1020, Cowles Foundation for Research in Economics, Yale University.
  5. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March.
  6. Donald W.K. Andrews, 1989. "An Empirical Process Central Limit Theorem for Dependent Non-Identically Distributed Random Variables," Cowles Foundation Discussion Papers 907, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
  1. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2004. "Consistent testing for stochastic dominance: a subsampling approach," LSE Research Online Documents on Economics 24755, London School of Economics and Political Science, LSE Library.
  2. Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Cowles Foundation Discussion Papers 1367, Cowles Foundation for Research in Economics, Yale University, revised Jul 2004.
  3. Liangjun Su & Zhenlin Yang, 2007. "Instrumental Variable Quantile Estimation of Spatial Autoregressive Models," Development Economics Working Papers 22476, East Asian Bureau of Economic Research.
  4. Norman R. Swanson & Valentina Corradi & Andres Fernandez, 2011. "Information in the Revision Process of Real-Time Datasets," Departmental Working Papers 201107, Rutgers University, Department of Economics.
  5. Donald W. K. Andrews & Xu Cheng, 2011. "Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure," Cowles Foundation Discussion Papers 1824R, Cowles Foundation for Research in Economics, Yale University, revised Oct 2012.
  6. Gordon C.R. Kemp & J.M.C. Santos Silva, 2010. "Regression towards the mode," Economics Discussion Papers 686, University of Essex, Department of Economics.
  7. Donald W.K. Andrews & Xu Cheng, 2010. "Estimation and Inference with Weak, Semi-strong, and Strong Identification," Cowles Foundation Discussion Papers 1773, Cowles Foundation for Research in Economics, Yale University.
  8. James H. Stock & Jonathan Wright, 1996. "Asymptotics for GMM Estimators with Weak Instruments," NBER Technical Working Papers 0198, National Bureau of Economic Research, Inc.

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