Uniformity and the delta method

DOI10.1515/JEM-2018-0001MaRDI QIDQ2312978zbMATH OpenOpenAlexFDO

Authors Maximilian Kasy

Publication date 18 July 2019

Published in Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.05731

zbMATH Keywords

asymptotic theorydelta methoduniformity

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

Abstract: When are asymptotic approximations using the delta-method uniformly valid? We provide sufficient conditions as well as closely related necessary conditions for uniform negligibility of the remainder of such approximations. These conditions are easily verified and permit to identify settings and parameter regions where pointwise asymptotic approximations perform poorly. Our framework allows for a unified and transparent discussion of uniformity issues in various sub-fields of econometrics. Our conditions involve uniform bounds on the remainder of a first-order approximation for the function of interest.

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Cites work

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• scientific article; zbMATH DE number 3238721 (Why is no real title available?)
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Cited in

(12)

• Uniform asymptotic inference and the bootstrap after model selection
• The numerical delta method
• A new distance based measure of asymmetry
• The uniform validity of impulse response inference in autoregressions
• A quantitative weak law of large numbers and its application to the delta method
• Delta method approach in a certain irregular condition
• Testing conditional independence via quantile regression based partial copulas
• Application domains for the delta method
• Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments
• Uniform inference for cointegrated vector autoregressive processes
• Asymptotic post-selection inference for regularized graphical models
• Estimation and inference of the forecast error variance decomposition for set-identified SVARs

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