Uniformity and the delta method
We provide a condition which is both necessary and sufficient for uniform validity of asymptotic approximations using the delta-method, that is for uniform negligibility of the remainder of such approximations. This condition is easily verified and permits to identify settings and parameter regions where pointwise asymptotic approximations perform poorly. This allows for a unified and transparent discussion of various sub-fields of econometrics. Our condition involves a uniform bound on the remainder of a first-order approximation for the function of interest.
Year of publication: |
2014-09
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Authors: | Kasy, Maximilian ; Olea, José L. Montiel |
Institutions: | Institute for Quantitative Social Science, Harvard University |
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