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A Unified Theory of Consistent Estimation for Parametric Models

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  • Bates, Charles
  • White, Halbert

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Bibliographic Info

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

Volume (Year): 1 (1985)
Issue (Month): 02 (August)
Pages: 151-178

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Handle: RePEc:cup:etheor:v:1:y:1985:i:02:p:151-178_01

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Cited by:
  1. Vadim Marmer & Taisuke Otsu, 2009. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1724, Cowles Foundation for Research in Economics, Yale University, revised Jul 2011.
  2. Andrews, Donald W. K. & Fair, Ray C., 1987. "Inference in Econometric Models with Structural Change," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences 636, California Institute of Technology, Division of the Humanities and Social Sciences.
  3. Phillips, Robert F., 1996. "Forecasting in the presence of large shocks," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 20(9-10), pages 1581-1608.
  4. Xiu, Dacheng, 2010. "Quasi-maximum likelihood estimation of volatility with high frequency data," Journal of Econometrics, Elsevier, Elsevier, vol. 159(1), pages 235-250, November.
  5. Donald W.K. Andrews, 1986. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 790, Cowles Foundation for Research in Economics, Yale University.
  6. Benedikt M. Potscher & Ingmar R. Prucha, 1994. "On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach," NBER Technical Working Papers 0085, National Bureau of Economic Research, Inc.

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