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Uniformity and the Delta Method

Author

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  • Kasy Maximilian

    (Department of Economics, Harvard University, Littauer Center 200, 1805 Cambridge Street, Cambridge, MA 02138, USA)

Abstract
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.

Suggested Citation

  • Kasy Maximilian, 2019. "Uniformity and the Delta Method," Journal of Econometric Methods, De Gruyter, vol. 8(1), pages 1-19, January.
    • Handle: RePEc:bpj:jecome:v:8:y:2019:i:1:p:19:n:9
    DOI: 10.1515/jem-2018-0001
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    References listed on IDEAS

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    1. Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers CWP77/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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    7. Anna Mikusheva, 2007. "Uniform Inference in Autoregressive Models," Econometrica, Econometric Society, vol. 75(5), pages 1411-1452, September.
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    Cited by:

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    3. Baillien, Jonas & Gijbels, Irène & Verhasselt, Anneleen, 2023. "A new distance based measure of asymmetry," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    4. JoonHwan Cho & Thomas M. Russell, 2018. "Simple Inference on Functionals of Set-Identified Parameters Defined by Linear Moments," Papers 1810.03180, arXiv.org, revised May 2023.

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