Mathematics
8 years ago

New formula predicts distribution of complex estimators under model misspecification.

Journal of Econometrics
Characterization of the asymptotic distribution of semiparametric M-estimators
Hidehiko Ichimura, Sokbae Lee

Paper Summary

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The article presents a formula for predicting the behavior of certain statistical estimators when the initial assumptions are not quite right. The researchers found that the accuracy of the first step in the estimation process can impact the final results. They also discovered that the smoothness of the mathematical functions used in the process can affect the outcome. The study looked at three specific examples to demonstrate how this formula can be applied in real-world situations.