出版社：Suntory Toyota International Centre for Economics and Related Disciplines
摘要：An asymptotic theory is developed for nonparametric and semiparametric series estimation under general cross-sectional dependence and heterogeneity. A uniform rate of consistency, asymptotic normality, and su¢ cient conditions forpn convergence, are established, and a data-driven studentization new to cross-sectional data is justi ed. The conditions accommodate various cross- sectional settings plausible in economic applications, and apply also to panel and time series data. Strong, as well as weak dependence are covered, and conditional heteroscedasticity is allowed.
关键词：An asymptotic theory is developed for nonparametric and semiparametric;series estimation under general cross-sectional dependence and heterogeneity.;A uniform rate of consistency; asymptotic normality; and su¢ cient conditions;forpn convergence; are established; and a data-driven studentization new to;cross-sectional data is justi ed. The conditions accommodate various cross-;sectional settings plausible in economic applications; and apply also to panel;and time series data. Strong; as well as weak dependence are covered; and;conditional heteroscedasticity is allowed.
