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math.ST2026
On the errors committed by sequences of estimator functionals
Steffen Grønneberg, Nils Lid Hjort
Consider a sequence of estimators which converges almost surely to as the sample size tends to infinity. Under weak smoothness conditions, we identify the asym…
math.ST2015
On econometric inference and multiple use of the same data
Benjamin Holcblat, Steffen Grønneberg
In fields that are mainly nonexperimental, such as economics and finance, it is inescapable to compute test statistics and confidence regions that are not probabilistically indepen…