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On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)

Author

Listed:
  • Stelios Arvanitis
  • Antonis Demos

    (www.aueb.gr/users/demos)

Abstract

This extended appendix contains detailed proofs for the results in the paper "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators".
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Stelios Arvanitis & Antonis Demos, 2013. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)," DEOS Working Papers 1330, Athens University of Economics and Business, revised 28 Jun 2013.
    • Handle: RePEc:aue:wpaper:1330
    as

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    File URL: http://wpa.deos.aueb.gr/docs/bias-ii-revis-jspi-ta.pdf
    File Function: Revised version
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    References listed on IDEAS

    as
    1. Stelios Arvanitis & Antonis Demos, 2012. "Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations," DEOS Working Papers 1229, Athens University of Economics and Business, revised 24 Aug 2012.
    2. Dimitra Kyriakopoulou & Antonis Demos, 2010. "Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models," DEOS Working Papers 1003, Athens University of Economics and Business.
    3. repec:aue:wpaper:1214 is not listed on IDEAS
    4. Corradi, Valentina & Iglesias, Emma M., 2008. "Bootstrap refinements for QML estimators of the GARCH(1,1) parameters," Journal of Econometrics, Elsevier, vol. 144(2), pages 500-510, June.
    5. Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(3), pages 343-367, September.
    6. Mariano,Roberto & Schuermann,Til & Weeks,Melvyn J. (ed.), 2000. "Simulation-based Inference in Econometrics," Cambridge Books, Cambridge University Press, number 9780521591126, January.
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    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.

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    More about this item

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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