On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach
The paper develops a general framework for the formulation of generic uniform laws of large numbers. In particular, we introduce a basic generic uniform law of large numbers that contains recent uniform laws of large numbers by Andrews  and Hoadley [7J as special cases. We also develop a truncation approach .that makes it possible to obtain uniform laws of large numbers for the functions under consideration from uniform laws of large numbers for truncated versions of those functions. The point of the truncation approach is that uniform laws of large numbers for the truncated versions are typically easier to obtain. By combining the basic uniform law of large numbers and the truncation approach we also derive generalizations of recent uniform laws of large numbers introduced in Potscher and Prucha [13, l5].
|Date of creation:||Apr 1994|
|Publication status:||published as Statistics, vo. 25, (1994), pp. 343-360|
|Contact details of provider:|| Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.|
Web page: http://www.nber.org
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- Levine, David, 1983.
"A remark on serial correlation in maximum likelihood,"
Journal of Econometrics,
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- David Levine, 1981. "A Remark on Serial Correlation in Maximum Likelihood," UCLA Economics Working Papers 215, UCLA Department of Economics.
- David K. Levine, 1983. "A Remark on Serial Correlation in Maximum Likelihood," Levine's Working Paper Archive 176, David K. Levine.
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- Potscher, Benedikt M & Prucha, Ingmar R, 1989. "A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes," Econometrica, Econometric Society, vol. 57(3), pages 675-683, May.
- Potscher, Benedikt M. & Prucha, Ingmar R., 1987. "A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process," Working Papers 87-26, C.V. Starr Center for Applied Economics, New York University.
- White, Halbert, 1980. "Nonlinear Regression on Cross-Section Data," Econometrica, Econometric Society, vol. 48(3), pages 721-746, April.
- Donald W.K. Andrews, 1986. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers," Cowles Foundation Discussion Papers 790, Cowles Foundation for Research in Economics, Yale University.
- Domowitz, Ian & White, Halbert, 1982. "Misspecified models with dependent observations," Journal of Econometrics, Elsevier, vol. 20(1), pages 35-58, October. Full references (including those not matched with items on IDEAS)
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