Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts

asymptotic normality generalized method of moments estimators consistency M-estimators maximum likelihood estimators central limit theorems fading memory dependence structure mixing processes uniform laws of large numbers approximation concepts dynamic nonlinear econometric models least mean distance estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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A property of the Hodrick-Prescott filter and its application
The Bierens test under data dependence
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Convergence in ther-th mean and the Marcinkiewicz type weak law of large numbers for weighted sums ofL q-mixingale arrays
Tail and nontail memory with applications to extreme value and robust statistics
Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures
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Instrumental variable estimation based on conditional median restriction
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Parameter estimation in nonlinear AR-GARCH models
Strong laws of large numbers for dependent heterogeneous processes: a synthesis of recent and new results
Estimation of nonlinear error correction models
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Basic structure of the asymptotic theory in dynamic nonlinear econometric models
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Uniform laws of large numbers and stochastic Lipschitz-continuity
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Consistency in Nonlinear Econometric Models: A Generic Uniform Law of Large Numbers
Complete convergence theorems for \(L^{p}\)-mixingales.
Maximum likelihood and the bootstrap for nonlinear dynamic models
Gaussian mixture vector autoregression
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