On the Asymptotic Effect of Substituting Estimators for Nuisance Parameters in Inferential Statistics

• Main Authors: YANG, Zhenlin, TSE, Yiu Kuen, BAI, Zhidong
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2003
• Subjects: Analytical correction; asymptotic independence; classical inference; limiting distribution; nuisance parameter; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/685; https://ink.library.smu.edu.sg/context/soe_research/article/1684/viewcontent/Yang_Tse_Bai.pdf
• Institution: Singapore Management University

This paper studies the general problem of making inferences for a set of parameters ? in the presence of another set of (nuisance) parameters λ, based on the statistic T(y; ˆλ, θ), where y = {y1, y2, · · · , yn} represents the data, ˆλ is an estimator of λ and the limiting distribution of T(y; λ, θ)...