Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
为半参数估计量提供了证明根号T一致性和渐近正态性的通用框架，适用于通过准则函数最小化定义的估计量，并应用于部分参数回归模型的半参数加权最小二乘估计。
This paper provides a general framework for proving the square root T-consistency and asymptotic normality of a wide variety of semiparametric estimators. The class of estimators considered consists of estimators that can be defined as the solution to a minimization problem based on a criterion function that may depend on a preliminary infinite dimensional nuisance parameter estimator. The method of proof exploits results concerning the stochastic equicontinuity of stochastic processes. The results are applied to the problem of semiparametric weighted least squares estimation of partially parametric regression models. Primitive conditions are given for square root T-consistency and asymptotic normality of this estimator. Copyright 1994 by The Econometric Society.