A Generalized Argmax Theorem with Applications

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Tác giả: Gregory Cox

Ngôn ngữ: eng

Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions

Thông tin xuất bản: 2022

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 195766

The argmax theorem is a useful result for deriving the limiting distribution of estimators in many applications. The conclusion of the argmax theorem states that the argmax of a sequence of stochastic processes converges in distribution to the argmax of a limiting stochastic process. This paper generalizes the argmax theorem to allow the maximization to take place over a sequence of subsets of the domain. If the sequence of subsets converges to a limiting subset, then the conclusion of the argmax theorem continues to hold. We demonstrate the usefulness of this generalization in three applications: estimating a structural break, estimating a parameter on the boundary of the parameter space, and estimating a weakly identified parameter. The generalized argmax theorem simplifies the proofs for existing results and can be used to prove new results in these literatures.
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