Basic Structure of the Classical Consistency Proof
In this chapter we describe the structure of the consistency proof for Mestimators in nonlinear econometric models as it has evolved from Jennrich (1969) and Malinvaud (1970). We shall refer to this proof as the classical consistency proof. The basic ideas date back to Doob (1934), Wald (1949) and LeCam (1953). The consistency proofs in the articles on asymptotic inference in nonlinear econometric models listed in Chapter 1 all share this common structure.
KeywordsObjective Function Identifiable Uniqueness True Parameter Nuisance Parameter Unique Minimizer
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