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Locally Regular and Efficient Tests in Non-Regular Semiparametric Models. (2024). Lee, Adam.
In: Papers.
RePEc:arx:papers:2403.05999.

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  31. b1(Z) = 0, and (b) the components of [π(Z)′ , Z′ 1]′ E[V1V ′ 2|Z]E[V2V ′ 2|Z]−1 V2 are in in cl{b1(Z)′ V2 : b1 ∈ Bγ,1}. This follows as E∥ [π(Z)′ , Z′ 1]′ E[V1V ′ 2|Z]E[V2V ′ 2|Z]−1 V2∥2 < ∞ by equation (37) and Assumption 9, and any such component may be arbitrarily well approximated by b1,n(Z)′ V2 for bounded measurable functions b1,n ∈ Bγ,1 since the set of such functions is dense in L2. The first equality in the final claim follows from Example A.2.1 in Bickel et al. (1998). For the second equality note that with Q(Z) := J(Z)−1 E1 − Q(Z)1,2Q(Z)−1 2,2E2 = hh 1 0′ K i − Q(Z)1,2Q(Z)−1 2,2 h 0K IK ii Q(Z)U = hh Q(Z)1,1 Q(Z)1,2 i − Q(Z)1,2Q(Z)−1 2,2 h Q(Z)2,1 Q(Z)2,2 ii U = h Q(Z)1,1 − Q(Z)1,2Q(Z)−1 2,2Q(Z)2,1 0K i
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  58. Hence by Theorem 61.6 of Strasser (1985) it suffices to show that the finite dimensional marginal distributions of h 7→ Ln,γ(h) converge (under Pn,γ) to those of h 7→ L(h) := ∆γh− 1 2 ∥h∥2 γ. For this it is enough to note that the finite dimensional marginal distributions of ∆n,γ converge to those of ∆γ (under Pn,γ), as follows by the Cramér – Wold Theorem (as in the proof of Lemma 3). Proof of Proposition 3. Let G[0] := Pγ,0. Define a map Z : Hγ → L2(Ω, F, G[0]) according to Z[h] = ∆γ(h) for any arbitrary h ∈ π−1 V ([h]), where πV is the quotient map from Hγ → Hγ; that this is well defined is noted in footnote 59. By the definition of ⟨ , ⟩γ on Hγ (cf. subsection S2.2) this is a standard Gaussian process for Hγ.58 Let each G[h] be defined such that dG[h] dG[0] = exp Z[h] − 1 2 ∥[h]∥2 γ ,
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    RePEc:eee:dyncon:v:128:y:2021:i:c:s0165188921000737.

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  8. Adaptive Importance Sampling for DSGE Models. (2021). Ravazzolo, Francesco ; Lorusso, Marco ; Grassi, Stefano.
    In: BEMPS - Bozen Economics & Management Paper Series.
    RePEc:bzn:wpaper:bemps84.

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  9. Identification-Robust Inequality Analysis. (2020). Flachaire, Emmanuel ; Zalghout, Abdallah ; Khalaf, Lynda ; Dufour, Jean-Marie.
    In: Cahiers de recherche.
    RePEc:mtl:montec:03-2020.

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  10. Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda.
    In: Econometrics.
    RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

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  11. Likelihood ratio testing in linear state space models: An application to dynamic stochastic general equilibrium models. (2020). Komunjer, Ivana ; Zhu, Yinchu.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:218:y:2020:i:2:p:561-586.

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  12. Generic results for establishing the asymptotic size of confidence sets and tests. (2020). Guggenberger, Patrik ; Cheng, XU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:218:y:2020:i:2:p:496-531.

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  13. Identification-robust Inequality Analysis. (2020). Flachaire, Emmanuel ; Zalghout, Abdallah ; Khalaf, Lynda ; Dufour, Jean-Marie.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2020s-23.

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  14. Identification versus misspecification in New Keynesian monetary policy models. (2019). Lindé, Jesper ; Laséen, Stefan ; Ratto, Marco ; Linde, Jesper ; Adolfson, Malin.
    In: European Economic Review.
    RePEc:eee:eecrev:v:113:y:2019:i:c:p:225-246.

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  15. Estimating a Behavioral New Keynesian Model. (2019). Lambais, Guilherme ; Cordeiro, Pedro ; Andrade, Joaquim .
    In: Papers.
    RePEc:arx:papers:1912.07601.

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  16. Impulse response matching estimators for DSGE models. (2017). Kilian, Lutz ; Inoue, Atsushi ; Guerron, Pablo ; Guerron-Quintana, Pablo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:1:p:144-155.

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  17. Efficient estimation of macroeconomic equations with unobservable states. (2017). Morrisy, Stephen D.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:60:y:2017:i:c:p:408-423.

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  18. DSGE pileups. (2017). Morris, Stephen D.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:74:y:2017:i:c:p:56-86.

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  19. Twenty Years of Time Series Econometrics in Ten Pictures. (2017). Watson, Mark ; Stock, James H.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:31:y:2017:i:2:p:59-86.

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  20. Solution and Estimation Methods for DSGE Models. (2016). Fernndez-Villaverde, J ; Schorfheide, F ; Rubio-Ramrez, J F.
    In: Handbook of Macroeconomics.
    RePEc:eee:macchp:v2-527.

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  21. Effects of incorrect specification on the finite sample properties of full and limited information estimators in DSGE models. (2016). Scheufele, Rolf ; Giesen, Sebastian.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:48:y:2016:i:c:p:1-18.

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  22. Misspecification and Expectations Correction in New Keynesian DSGE Models. (2016). Fanelli, Luca ; Angelini, Giovanni.
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:78:y:2016:i:5:p:623-649.

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  23. Robust inference in nonlinear models with mixed identification strength. (2015). Cheng, XU.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:189:y:2015:i:1:p:207-228.

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