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Abstract:
In this talk, we will give a general introduction to the random field model (Hamilton 2001) and some related issues first. Then show the limiting properties of the estimated parameters in the random field regression model (Dahl and Qin). Although the random field model is misspecified and neither stationary nor ergodic, consistency and asymptotic normlity are established. The results are obtained by extending the limit theory of maximum likelihood estimators out of the traditional framework and by developing some general and important novel uniform convergence results. This theory may have applications beyond those presented here. |
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