Proximal Statistics: Asymptotic Normality

David Pacini

Bristol Economics Discussion Papers from School of Economics, University of Bristol, UK

Abstract: This note considers the problem of constructing an asymptotically normal statistic for the value function of a convex stochastic minimization programme, which may have more than one minimizer. It introduces the proximal statistic using a recursive estimator of one of the minimizers. The use of this statistic is illustrated by extending an existing selection test for point-identifying parametric models to the set-identifying case

Keywords: Set Identification; Proximal algorithm (search for similar items in EconPapers)
Date: 2019-09-01
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Persistent link: https://EconPapers.repec.org/RePEc:bri:uobdis:19/718

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