CFDP 1020

An Introduction to Econometric Random Variables


Publication Date: May 1992

Pages: 40


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.


Hypothesis tests, semiparametric estimation

JEL Classification Codes: C12, C14

See CFP: 837