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- Step 1: Given ð and a scalar ð, note that ð ð âï¸ ð¡=1 ln ð (ð¦â ðð¡ (ð, ð) | ð¥ðð¡; ð½, ð¾) := ð ð âï¸ ð¡=1 ð¦â ðð¡ (ð, ð) ln Φ(ð¥0 ðð¡ ð½ + ð¾) + (1 â ð¦â ðð¡ (ð, ð)) ln(1 â Φ(ð¥0 ðð¡ ð½ + ð¾)) consists of two components: (1) an indicator function of scalar ð and (2) a smooth, bounded and monotone function of (ð½, ð¾). The indicator function ð¦â ðð¡ (ð, b ð¼ð) belongs to type I class of Andrews (1994), which satisfies Pollardâs entropy condition. The second component belongs to a class of functions satisfying bracketing entropy condition (van der Vaart and Wellner, 1996, Section 2.7.2).
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- Step 4: By Theorem 1 in Newey (1991), b ð½â(ð, b ð¶) converges to ð½(ð, ð¶0) uniformly over ð â Î. B.2 Proof of Theorem 1 Proof. Following the argument as in Appendix 1 of Gouriéroux et al. (1993), consistency of e ðð» requires the following three conditions to hold: 1. the function ð½(ð, ð¶0) is invertible; 2. b ð converges to ð½(ð0, ð¶0) in ð0 â Î pointwise; 3. b ð½â(ð, b ð¶) converges to ð½(ð, ð¶0) uniformly over ð â Î.
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