Uniformity and the delta method
Maximilian Kasy
Working Paper from Harvard University OpenScholar
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.
Date: 2015-01
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Journal Article: Uniformity and the Delta Method (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:qsh:wpaper:197561
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