Asymptotic Normality: Catalogues of Assumptions
Based on the discussion in Chapters 8 and 10 it is now possible to provide various sets of sufficient conditions for the asymptotic normality of M-estimators in dynamic nonlinear models. In Sections 11.1 and 11.2 we establish the asymptotic normality of least mean distance estimators and of generalized method of moments estimators under exemplary catalogues of assumptions. In Section 11.3 we relate these results to those available in the econometrics literature and provide further remarks.
KeywordsUniform Convergence Asymptotic Normality Distance Estimator Nuisance Parameter Moment Estimator
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