Discussion Paper
Folklore Theorems, Implicit Maps and New Unit Root Limit Theory
The delta method and continuous mapping theorem are among the most extensively used tools in asymptotic derivations in econometrics. Extensions of these methods are provided for sequences of functions, which are commonly encountered in applications, and where the usual methods sometimes fail. Important examples of failure arise in the use of simulation based estimation methods such as indirect inference. The paper explores the application of these methods to the indirect inference estimator (IIE) in first order autoregressive estimation.