COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1020

"An Introduction to Econometric Random Variables"

Donald W.K. Andrews

May 1992

This paper discusses some uses econometrics of functional limit theory for dependent random variables. Attention is focused on empirical process-type results rather than partial sum results that are prevalent in unit root econometrics. Examples considered include nonstandard parametric hypotheses tests and semiparametric estimation. The application of bracketing functional limit results is discussed in some detail.

JE Classification: C12, C14

Keywords: Hypothesis tests, semiparametric estimation