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Basic Elements of Asymptotic Theory

Author

Listed:
  • Benedikt M. Pötscher

    (Department of Statistics, University of Vienna)

  • Ingmar R. Prucha

    (Department of Economics, University of Maryland)

Abstract

The paper provides a review of basic elements of asymptotic theory. Topics include modes of convergence, laws of large numbers and central limit theorems.

Suggested Citation

  • Benedikt M. Pötscher & Ingmar R. Prucha, 1999. "Basic Elements of Asymptotic Theory," Electronic Working Papers 99-001, University of Maryland, Department of Economics.
    • Handle: RePEc:umd:umdeco:99-001
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    References listed on IDEAS

    as
    1. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-1167, July.
    2. Herman J. Bierens & A. R. Gallant (ed.), 1997. "Nonlinear Models," Books, Edward Elgar Publishing, volume 0, number 878.
    3. White,Halbert, 1996. "Estimation, Inference and Specification Analysis," Cambridge Books, Cambridge University Press, number 9780521574464, January.
    4. Andrews, Donald W K, 1987. "Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers [On Unification of the Asymptotic Theory of Nonlinear Econometric Models]," Econometrica, Econometric Society, vol. 55(6), pages 1465-1471, November.
    5. Potscher, Benedikt M. & Prucha, Ingmar R., 1994. "Generic uniform convergence and equicontinuity concepts for random functions : An exploration of the basic structure," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 23-63.
    6. James Davidson & Robert de Jong, 1997. "Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 251-279.
    7. 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.
    8. Wooldridge, Jeffrey M., 1986. "Estimation and inference for dependent processes," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 45, pages 2639-2738, Elsevier.
    9. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-533, May.
    2. Harry H. Kelejian & Ingmar R. Prucha, 1997. "Estimation of Spatial Regression Models with Autoregressive Errors by Two-Stage Least Squares Procedures: A Serious Problem," International Regional Science Review, , vol. 20(1-2), pages 103-111, April.
    3. Mutl, Jan, 2009. "Consistent Estimation of Global VAR Models," Economics Series 234, Institute for Advanced Studies.

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    More about this item

    Keywords

    Asymptotic Theory; Modes of Convergence; Laws of Large Numbers; Central Limit Theorems;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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