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Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays

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  • Bruce E. Hansen

    ()
    (Boston College)

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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File URL: http://fmwww.bc.edu/EC-P/wp295.pdf
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Bibliographic Info

Paper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 295..

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Length: 19 pages
Date of creation: Nov 1994
Date of revision:
Publication status: published, Econometric Theory, 1996, 12:347-359.
Handle: RePEc:boc:bocoec:295

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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
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Web page: http://fmwww.bc.edu/EC/
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Keywords: Empirical process; weak convergence;

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References

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  1. 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.
  2. 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.
  3. Andrews, Donald W. K., 1987. "Laws of Large Numbers for Dependent Non-Identically Distributed Random Variables," Working Papers 645, California Institute of Technology, Division of the Humanities and Social Sciences.
  4. Andrews, Donald W. K., 1991. "An empirical process central limit theorem for dependent non-identically distributed random variables," Journal of Multivariate Analysis, Elsevier, vol. 38(2), pages 187-203, August.
  5. Bierens, H.J., 1989. "A consistent conditional moment test of functional form," Serie Research Memoranda 0064, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  6. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers 1015, Cowles Foundation for Research in Economics, Yale University.
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Cited by:
  1. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2002. "Consistent Testing for Stochastic Dominance: A Subsampling Approach," FMG Discussion Papers dp407, Financial Markets Group.
  2. Katsumi Shimotsu & Peter C.B. Phillips, 2002. "Exact Local Whittle Estimation of Fractional Integration," Economics Discussion Papers 535, University of Essex, Department of Economics.
  3. 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.
  4. 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.
  5. James H. Stock & Jonathan Wright, 1996. "Asymptotics for GMM Estimators with Weak Instruments," NBER Technical Working Papers 0198, National Bureau of Economic Research, Inc.
  6. Liangjun Su & Zhenlin Yang, 2007. "Instrumental Variable Quantile Estimation of Spatial Autoregressive Models," Development Economics Working Papers 22476, East Asian Bureau of Economic Research.
  7. Corradi, Valentina & Fernandez, Andres & Swanson, Norman R., 2009. "Information in the Revision Process of Real-Time Datasets," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 455-467.
  8. Kemp, Gordon C.R. & Santos Silva, J.M.C., 2012. "Regression towards the mode," Journal of Econometrics, Elsevier, vol. 170(1), pages 92-101.

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