Uniformity and the delta method

Kasy, MaximilianORCID: https://orcid.org/0000-0002-8679-5179 (2019) Uniformity and the delta method. Journal of Econometric Methods, 8 (1). https://doi.org/10.1515/jem-2018-0001

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When are asymptotic approximations using the delta-method uniformly valid? We provide sufficient conditions as well as closely related necessary conditions for uniform negligibility of the remainder of such approximations. These conditions are easily verified by empirical practitioners and permit to identify settings and parameter regions where pointwise asymptotic approximations perform poorly. Our framework allows for a unified and transparent discussion of uniformity issues in various sub-fields of statistics and econometrics. Our conditions involve uniform bounds on the remainder of a first-order approximation for the function of interest.

Item Type: Article in Academic Journal
Keywords: asymptotic theory; delta method; uniformity
Research Units: Former Research Units (until 2020) > in_Equality and Education
Current Research Groups > Education and Employment
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Date Deposited: 11 Dec 2018 10:31
Last Modified: 09 Jun 2022 09:58
DOI: 10.1515/jem-2018-0001
ISSN: Online 2156-6674
URI: https://irihs.ihs.ac.at/id/eprint/4856

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