This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Donald W.K. Andrews () (Cowles Foundation, Yale University)

Additional information is available for the following registered author(s):

Abstract

This paper discusses some uses econometrics of functional limit theory for dependent random variables. Attention is focused on empirical process-type results rather than partial sum results that are prevalent in unit root econometrics. Examples considered include nonstandard parametric hypotheses tests and semiparametric estimation. The application of bracketing functional limit results is discussed in some detail.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://cowles.econ.yale.edu/P/cp/p08a/p0837.pdf
File Format: application/pdf
File Function:
Download Restriction: no
File URL: http://cowles.econ.yale.edu/P/cd/d10a/d1020.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 1020.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 40 pages
Date of creation: May 1992
Date of revision:
Publication status: Published in Econometric Review (1993), 12(2): 183-216
Handle: RePEc:cwl:cwldpp:1020

Note: CFP 837.
Contact details of provider:
Postal: Yale University, Box 208281, New Haven, CT 06520-8281 USA
Phone: (203) 432-3702
Fax: (203) 432-6167
Web page: http://cowles.econ.yale.edu/
More information through EDIRC

Order Information:
Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

For technical questions regarding this item, or to correct its listing, contact: (Glena Ames).

Related research
Keywords: Hypothesis tests; semiparametric estimation;

Other versions of this item:

Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Peter C.B. Phillips & Victor Solo, 1989. "Asymptotics for Linear Processes," Cowles Foundation Discussion Papers 932, Cowles Foundation, Yale University. [Downloadable!]
  2. Robinson, P M, 1987. "Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form," Econometrica, Econometric Society, vol. 55(4), pages 875-91, July. [Downloadable!] (restricted)
  3. 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, Yale University. [Downloadable!]
    Other versions:
  4. 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. [Downloadable!] (restricted)
    Other versions:
  5. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 277-318. [Downloadable!] (restricted)
    Other versions:
  6. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-67, July. [Downloadable!] (restricted)
  7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  8. Halbert White & Maxwell B. Stinchcombe, 1990. "Adaptive Efficient Weighted Least Squares with Dependent Observations," University of California at San Diego, Economics Working Paper Series 89-45r, Department of Economics, UC San Diego.
  9. Timo TerŠsvirta & Heather M. Anderson, 1991. "Modelling Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models," University of California at San Diego, Economics Working Paper Series 91-24, Department of Economics, UC San Diego.
  10. Hansen, B.E., 1991. "The Likelihood Test Under Non-Standard Conditions: Testing the Markov Trend Model of GNP," RCER Working Papers 279, University of Rochester - Center for Economic Research (RCER).
  11. Donald W.K. Andrews, 1989. "Asymptotics for Semiparametric Econometric Models: I. Estimation," Cowles Foundation Discussion Papers 908R, Cowles Foundation, Yale University, revised Aug 1990. [Downloadable!]
  12. Hansen, B.E., 1991. "Inference when a Nuisance Parameter is Not Identified Under the Null Hypothesis," RCER Working Papers 296, University of Rochester - Center for Economic Research (RCER).
    Other versions:
  13. Horowitz, Joel L, 1992. "A Smoothed Maximum Score Estimator for the Binary Response Model," Econometrica, Econometric Society, vol. 60(3), pages 505-31, May. [Downloadable!] (restricted)
  14. repec:cup:etheor:v:8:y:1992:i:2:p:241-57 is not listed on IDEAS
  15. Simon M. Potter, 1993. "A Nonlinear Approach to U.S. GNP," UCLA Economics Working Papers 693, UCLA Department of Economics. [Downloadable!]
    Other versions:
  16. Ariel Pakes & Steven Olley, 1994. "A Limit Theorem for a Smooth Class of Semiparametric Estimators," Cowles Foundation Discussion Papers 1066, Cowles Foundation, Yale University. [Downloadable!]
  17. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  18. Bera, A.K. & Higgins, M.L., 1990. "A Test For Conditional Heterskedasticity In Time Series Midels," University of Western Ontario, The Centre for the Study of International Economic Relations Working Papers 9003, University of Western Ontario, The Centre for the Study of International Economic Relations.
  19. Andrews, Donald W.K., 1995. "Nonparametric Kernel Estimation for Semiparametric Models," Econometric Theory, Cambridge University Press, vol. 11(03), pages 560-586, June. [Downloadable!]
  20. Donald W.K. Andrews, 1990. "Generic Uniform Convergence," Cowles Foundation Discussion Papers 940, Cowles Foundation, Yale University. [Downloadable!]
  21. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-56, July. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Specification Tests for Diffusion Processes," Departmental Working Papers 200321, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  2. Bruce E. Hansen, 1994. "Stochastic Equicontinuity for Unbounded Dependent Heterogeneous Arrays," Boston College Working Papers in Economics 295., Boston College Department of Economics. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? RePEc also has a blog.

This page was last updated on 2009-12-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.