Basic structure of the asymptotic theory in dynamic nonlinear econometric models
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[For part I see ibid. 10, No. 2, 125-216 (1991; Zbl 0737.62096).]\ This paper provides an uptodate survey of the theory of asymptotic distributions of \(M\)-estimators in dynamic and nonlinear econometric models. The basic idea is to express the estimator as a linear function of the score vector by a Taylor series expansion and then to derive the asymptotic distribution of the estimator from the asymptotic distribution of the score vector. Conditions for asymptotic normality are analyzed for several nonstandard situations, e.g. when the objective function is not twice differentiable. Two estimation methods which are often useful in nonlinear economic models are discussed, e.g., least mean distance estimators and generalized method of moments estimators. Problems of consistent estimation of the variance-covariance matrix of the above two estimators are also discussed in some detail.
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