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A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators

Citations

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Cited by:

  1. Linton, Oliver, 1996. "Edgeworth Approximation for MINPIN Estimators in Semiparametric Regression Models," Econometric Theory, Cambridge University Press, vol. 12(1), pages 30-60, March.
  2. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," NBER Technical Working Papers 0302, National Bureau of Economic Research, Inc.
  3. Linton, Oliver, 1997. "An Asymptotic Expansion in the GARCH(l, 1) Model," Econometric Theory, Cambridge University Press, vol. 13(4), pages 558-581, February.
  4. Zhijie Xiao & Peter C.B. Phillips, 1998. "Higher Order Approximations for Wald Statistics in Cointegrating Regressions," Cowles Foundation Discussion Papers 1192, Cowles Foundation for Research in Economics, Yale University.
  5. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
  6. Ñíguez, Trino-Manuel & Perote, Javier, 2016. "Multivariate moments expansion density: Application of the dynamic equicorrelation model," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
  7. Peter C.B. Phillips, 1981. "Marginal Densities of Instrumental Variable Estimators in the General Single Equation Case," Cowles Foundation Discussion Papers 609, Cowles Foundation for Research in Economics, Yale University.
  8. Matsushita, Yukitoshi & Otsu, Taisuke, 2023. "Second-order refinements for t-ratios with many instruments," Journal of Econometrics, Elsevier, vol. 232(2), pages 346-366.
  9. Aman Ullah & Yong Bao & Ru Zhang, 2014. "Moment Approximation for Unit Root Models with Nonnormal Errors," Working Papers 201401, University of California at Riverside, Department of Economics.
  10. Kundhi, Gubhinder & Rilstone, Paul, 2012. "Edgeworth expansions for GEL estimators," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 118-146.
  11. Gubhinder Kundhi & Paul Rilstone, 2015. "Saddlepoint expansions for GEL estimators," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 1-24, March.
  12. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-1083, September.
  13. Rilstone, Paul & Srivastava, V. K. & Ullah, Aman, 1996. "The second-order bias and mean squared error of nonlinear estimators," Journal of Econometrics, Elsevier, vol. 75(2), pages 369-395, December.
  14. Peter C.B. Phillips & Binbin Guo & Zhijie Xiao, 2002. "Efficient Regression in Time Series Partial Linear Models," Cowles Foundation Discussion Papers 1363, Cowles Foundation for Research in Economics, Yale University.
  15. Creel, Michael & Kristensen, Dennis, 2011. "Indirect Likelihood Inference," Dynare Working Papers 8, CEPREMAP.
  16. Lina M. Cortés & Andrés Mora-Valencia & Javier Perote, 2016. "The productivity of top researchers: a semi-nonparametric approach," Scientometrics, Springer;Akadémiai Kiadó, vol. 109(2), pages 891-915, November.
  17. Xiao, Zhijie & Phillips, Peter C. B., 2002. "Higher order approximations for Wald statistics in time series regressions with integrated processes," Journal of Econometrics, Elsevier, vol. 108(1), pages 157-198, May.
  18. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
  19. Naoto Kunitomo, 1981. "A Third Order Optimum Property of the ML Estimator in Linear Functional Relationships and Simultaneous Equation Systems," Discussion Papers 501, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  20. Yukitoshi Matsushita & Taisuke Otsu, 2020. "Second-order refinements for t-ratios with many instruments," STICERD - Econometrics Paper Series 612, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  21. Xiao, Zhijie & Phillips, Peter C. B., 1998. "Higher-order approximations for frequency domain time series regression," Journal of Econometrics, Elsevier, vol. 86(2), pages 297-336, June.
  22. Tae-Hwy Lee & Aman Ullah & He Wang, 2024. "The second-order bias and mean squared error of quantile regression estimators," Indian Economic Review, Springer, vol. 59(1), pages 11-68, October.
  23. M. Dolores de Prada & Luis M. Borge, 1997. "Some methods for comparing first-order asymptotically equivalent estimators," Investigaciones Economicas, Fundación SEPI, vol. 21(3), pages 473-500, September.
  24. Oliver Linton, 1997. "Second Order Approximation in a Linear Regression with Heteroskedasticity for Unknown Form," Cowles Foundation Discussion Papers 1151, Cowles Foundation for Research in Economics, Yale University.
  25. Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
  26. Matsushita, Yukitoshi & Otsu, Taisuke, 2023. "Second-order refinements for t-ratios with many instruments," LSE Research Online Documents on Economics 111065, London School of Economics and Political Science, LSE Library.
  27. Naoto Kunitomo, 1981. "On A Third Order Optimum Property of The LIML Estimator When the Sample Size is Large," Discussion Papers 502, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  28. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  29. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
  30. Tae-Hwy Lee & Aman Ullah & He Wang, 2023. "The Second-order Bias and Mean Squared Error of Quantile Regression Estimators," Working Papers 202313, University of California at Riverside, Department of Economics.
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