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Examples of L2-complete and boundedly-complete distributions

Author

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  • Andrews, Donald W.K.
Abstract
Completeness and bounded-completeness conditions are used increasingly in econometrics to obtain nonparametric identification in a variety of models from nonparametric instrumental variable regression to non-classical measurement error models. However, distributions that are known to be complete or boundedly complete are somewhat scarce. In this paper, we consider an L2-completeness condition that lies between completeness and bounded completeness. We construct broad (nonparametric) classes of distributions that are L2-complete and boundedly complete. The distributions can have any marginal distributions and a wide range of strengths of dependence. Examples of L2-incomplete distributions also are provided.

Suggested Citation

  • Andrews, Donald W.K., 2017. "Examples of L2-complete and boundedly-complete distributions," Journal of Econometrics, Elsevier, vol. 199(2), pages 213-220.
    • Handle: RePEc:eee:econom:v:199:y:2017:i:2:p:213-220
    DOI: 10.1016/j.jeconom.2017.05.011
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    More about this item

    Keywords

    Bivariate distribution; Bounded completeness; Canonical correlation; Completeness; Identification; Measurement error; Nonparametric instrumental variable regression;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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