Chen, Xiaohong; Shen, Xiaotong - In: Econometrica 66 (1998) 2, pp. 289-314
Many non/semiparametric time series estimates may be regarded as different forms of sieve extremum estimates. For stationary absolute regular mixing observations, the authors obtain convergence rates of sieve extremurn estimates and root-n asymptotic normality of 'plug-in' sieve extremum...