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|
|Date of revision:|
|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.|
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- Potscher, Benedikt M. & Prucha, Ingmar R., 1987.
"A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process,"
87-26, C.V. Starr Center for Applied Economics, New York University.
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- Charles Bates & Halbert White, 1984. "A Unified Theory of Consistent Estimation for Parametric Models," Working papers 359, Massachusetts Institute of Technology (MIT), Department of Economics.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
- White, Halbert & Domowitz, Ian, 1984. "Nonlinear Regression with Dependent Observations," Econometrica, Econometric Society, vol. 52(1), pages 143-61, January.
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