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Econometric Reviews Volume 10, 1991 - Issue 2
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Original Articles

Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts

Benedikt M. Pötscher Department of Economics, University of Maryland, Collage Park, MD, 20742
&
Ingmar R. Prucha Department of Economics, University of Maryland, Collage Park, MD, 20742
Pages 125-216 | Published online: 21 Mar 2007
 
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Abstract

This is the first of two papers that provide an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a revlew of the literature. In this paper we discuss consistency,uniform laws of large numbers and develop a new framework for laws of large numbers for dependent and heterogeneous processes, encompassing the theory of stochastically stable as well as near epoch dependent processes. This framework results in simplified catalogues of sufficient conditions for consistency. The second paper, Potscher and Prucha (1990b), deals with asymptotic distribution theory.

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