2025/01/22 by Cattaneo, Matias D., Cox, Gregory Fletcher, Jansson, Michael +1
#Econometrics (econ.EM) #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.2501.13265
Certain extremum estimators have asymptotic distributions that are non-Gaussian, yet characterizable as the distribution of the \argmax of a Gaussian process. This paper presents high-level sufficient conditions under which such asymptotic distributions admit a continuous distribution function. The plausibility of the sufficient conditions is demonstrated by verifying them in three examples, namely maximum score estimation, empirical risk minimization, and threshold regression estimation. In turn, the continuity result buttresses several recently proposed inference procedures whose validity seems to require a result of the kind established herein. A notable feature of the high-level assumptions is that one of them is designed to enable us to employ the Cameron-Martin theorem. In a leading special case, the assumption in question is demonstrably weak and appears to be close to minimal.