Rearranging Edgeworth–Cornish–Fisher expansions
AbstractThis 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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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 42 (2010)
Issue (Month): 2 (February)
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- D10 - Microeconomics - - Household Behavior - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
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- 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.
- 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.
- Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Improving Estimates Of Monotone Functions By Rearrangement," Boston University - Department of Economics - Working Papers Series WP2007-012, Boston University - Department of Economics.
- Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May.
- 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.
- Victor Chernozhukov & Pierre-André Chiappori & Marc Henry, 2010. "Introduction," Economic Theory, Springer, vol. 42(2), pages 271-273, February.
- Ghossoub, Mario, 2011. "Monotone equimeasurable rearrangements with non-additive probabilities," MPRA Paper 37629, University Library of Munich, Germany, revised 23 Mar 2012.
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