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Rearranging Edgeworth–Cornish–Fisher expansions

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Author Info

  • Victor Chernozhukov

    ()

  • Iván Fernández-Val

    ()

  • Alfred Galichon

    ()

Abstract

This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile functions of sample statistics. Besides satisfying the logical monotonicity, required of distribution and quantile functions, the procedure often delivers strikingly better approximations to the distribution and quantile functions of the sample mean than the original Edgeworth-Cornish-Fisher expansions.

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File URL: http://hdl.handle.net/10.1007/s00199-008-0431-z
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Bibliographic Info

Article provided by Springer in its journal Economic Theory.

Volume (Year): 42 (2010)
Issue (Month): 2 (February)
Pages: 419-435

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Handle: RePEc:spr:joecth:v:42:y:2010:i:2:p:419-435

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Related research

Keywords: Edgeworth expansion; Cornish–Fisher expansion; Rearrangement; Higher order central limit theorem; D10; C50;

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References

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  1. Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May.
  2. Manishi Prasad & Peter Wahlqvist & Rich Shikiar & Ya-Chen Tina Shih, 2004. "A," PharmacoEconomics, Springer Healthcare | Adis, vol. 22(4), pages 225-244.
  3. Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Improving estimates of monotone functions by rearrangement," CeMMAP working papers CWP09/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  4. Rothenberg, Thomas J., 1984. "Approximating the distributions of econometric estimators and test statistics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 15, pages 881-935 Elsevier.
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Cited by:
  1. Victor Chernozhukov & Pierre-André Chiappori & Marc Henry, 2010. "Introduction," Economic Theory, Springer, vol. 42(2), pages 271-273, February.
  2. Ghossoub, Mario, 2011. "Monotone equimeasurable rearrangements with non-additive probabilities," MPRA Paper 37629, University Library of Munich, Germany, revised 23 Mar 2012.
  3. Karlygash Kuralbayeva & Samuel Malone, 2012. "The Determinants of Extreme Commodity Prices," OxCarre Working Papers 096, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.

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