Robust Methods and Asymptotic Theory in Nonlinear Econometrics (eBook, PDF)
H. J. Bierens
eBook, PDF

Robust Methods and Asymptotic Theory in Nonlinear Econometrics (eBook, PDF)

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This Lecture Note deals with asymptotic properties, i.e. weak and strong consistency and asymptotic normality, of parameter estimators of nonlinear regression models and nonlinear structural equations under various assumptions on the distribution of the data. The estimation methods involved are nonlinear least squares estimation (NLLSE), nonlinear robust M-estimation (NLRME) and non linear weighted robust M-estimation (NLWRME) for the regression case and nonlinear two-stage least squares estimation (NL2SLSE) and a new method called minimum information estimation (MIE) for the case of structura...

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