Basic structure of the asymptotic theory in dynamic nonlinear econometric models
本文是两篇系列论文的第二篇，讨论动态非线性模型中M估计量的渐近正态性，包括相依随机变量的中心极限定理以及异方差和自相关下方差协方差矩阵的估计。
This is the second of two papers that provide an expository discussion of the basic structure of the asymptotic theory of M-estimators in dynamic nonlinear models and a review of the literature. The first paper, Pötscher and Prucha(1991), deals with consistency. In the present paper we discuss asymptotic normality. As an important ingredient to the asymptotic normality proof in dynamic nonlinear models we consider central limit theorems for dependent random variables. We also discuss the estimation of the variance covariance matrix of m-estimators under heteroscedasticity and autocorrelation.