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Some methods for comparing first-order asymptotically equivalent estimators

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  • M. Dolores de Prada

    (Universidad de Valladolid)

  • Luis M. Borge

    (Universidad de Valladolid)

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    File URL: ftp://ftp.fundacionsepi.es/InvEcon/paperArchive/Sep1997/v21i3a3.pdf
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    Bibliographic Info

    Article provided by Fundación SEPI in its journal Investigaciones Economicas.

    Volume (Year): 21 (1997)
    Issue (Month): 3 (September)
    Pages: 473-500

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    Handle: RePEc:iec:inveco:v:21:y:1997:i:3:p:473-500

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    Postal: Investigaciones Economicas Fundación SEPI Quintana, 2 (planta 3) 28008 Madrid Spain
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    1. Phillips, Peter C B, 1977. "A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators," Econometrica, Econometric Society, vol. 45(6), pages 1517-34, September.
    2. Oliver Linton, 1993. "Second Order Approximation in the Partially Linear Regression Model," Cowles Foundation Discussion Papers 1065, Cowles Foundation for Research in Economics, Yale University.
    3. Peter C.B. Phillips, 1982. "ERA's: A New Approach to Small Sample Theory," Cowles Foundation Discussion Papers 645, Cowles Foundation for Research in Economics, Yale University.
    4. Sargan, J D, 1975. "Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators," Econometrica, Econometric Society, vol. 43(2), pages 327-46, March.
    5. Mariano, Roberto S, 1973. "Approximations to the Distribution Functions of the Ordinary Least-Squares and Two-Stage Least-Squares Estimators in the Case of Two Included Endogenous Variables," Econometrica, Econometric Society, vol. 41(1), pages 67-77, January.
    6. Morimune, Kimio & Sakata, Shinichi, 1993. "Modified three-stage least squares estimator which is third-order efficient," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 257-276.
    7. Sargan, J D & Mikhail, W M, 1971. "A General Approximation to the Distribution of Instrumental Variables Estimates," Econometrica, Econometric Society, vol. 39(1), pages 131-69, January.
    8. Sargan, J D & Satchell, S E, 1986. "A Theorem of Validity for Edgeworth Expansions," Econometrica, Econometric Society, vol. 54(1), pages 189-213, January.
    9. Robinson, Peter M, 1988. "The Stochastic Difference between Econometric Statistics," Econometrica, Econometric Society, vol. 56(3), pages 531-48, May.
    10. Phillips, P C B, 1980. "Finite Sample Theory and the Distributions of Alternative Estimators of the Marginal Propensity to Consume," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 183-224, January.
    11. Sargan, J D, 1974. "The Validity of Nagar's Expansion for the Moments of Econometric Estimators," Econometrica, Econometric Society, vol. 42(1), pages 169-76, January.
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