An Introduction to Econometric Applications of Functional Limit Theory for Dependent Random Variables

Donald Andrews ()

No 1020, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: This paper discusses some uses econometrics of functional limit theory for dependent random variables. Attention is focused on empirical process-type results rather than partial sum results that are prevalent in unit root econometrics. Examples considered include nonstandard parametric hypotheses tests and semiparametric estimation. The application of bracketing functional limit results is discussed in some detail.

Keywords: Hypothesis tests; semiparametric estimation (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Pages: 40 pages
Date: 1992-05
Note: CFP 837.
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Citations: View citations in EconPapers (4)

Published in Econometric Review (1993), 12(2): 183-216

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