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Maximal Uniform Convergence Rates in Parametric Estimation Problems

  • Walter Beckert

    (Department of Economics, Mathematics & Statistics, Birkbeck)

  • Daniel McFadden

This paper considers parametric estimation problems with i.i.d. data. It focusses on rate-efficiency, in the sense of maximal possible convergence rates of stochastically bounded estimators, as an optimality criterion, largely unexplored in parametric estimation. Under mild conditions, the Hellinger metric, defined on the space of parametric probability measures, is shown to be an essentially universally applicable tool to determine maximal possible convergence rates.

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File URL: http://www.bbk.ac.uk/ems/research/wp/PDF/BWPEF0405.pdf
File Function: First version, 2004
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Paper provided by Birkbeck, Department of Economics, Mathematics & Statistics in its series Birkbeck Working Papers in Economics and Finance with number 0405.

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Date of creation: Nov 2004
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Handle: RePEc:bbk:bbkefp:0405
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  1. Horowitz, Joel L., 1993. "Optimal Rates of Convergence of Parameter Estimators in the Binary Response Model with Weak Distributional Assumptions," Econometric Theory, Cambridge University Press, vol. 9(01), pages 1-18, January.
  2. Newey, W.K., 1989. "Uniform Convergence In Probability And Stochastic Equicontinuity," Papers 342, Princeton, Department of Economics - Econometric Research Program.
  3. Paarsch, H.J., 1992. "A Comparison of estimators for Empirical Models of Auction," UWO Department of Economics Working Papers 9210, University of Western Ontario, Department of Economics.
  4. Bruce E. Hansen, 1996. "Sample Splitting and Threshold Estimation," Boston College Working Papers in Economics 319., Boston College Department of Economics, revised 12 May 1998.
  5. Klein, Roger W & Spady, Richard H, 1993. "An Efficient Semiparametric Estimator for Binary Response Models," Econometrica, Econometric Society, vol. 61(2), pages 387-421, March.
  6. repec:cup:etheor:v:9:y:1993:i:1:p:1-18 is not listed on IDEAS
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