Best Nonlinear Three-Stage Least Squares Estimation of Certain Econometric Models

DOI10.2307/2938227zbMath0729.62106OpenAlexW2008239076MaRDI QIDQ3354960

Peter M. Robinson

Publication date: 1991

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938227

zbMATH Keywords

resamplingcentral limit theoremnonparametric regressionnormal approximationBerry-Esseen bounddynamic modelslower variance boundtransformation modelslarge-sample inferencedisturbance distribution of unknown formdisturbance serial correlationefficient instrumentsempirical distribution of preliminary residualsestimation of nonlinear simultaneous equationsinstrumental variables estimateslagged response variablesrate of uniform convergence to normalityserially dependent explanatory variablesstationary serial dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Asymptotic distribution theory in statistics (62E20)

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