Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations
AbstractIn this paper we are concerned with the issue of the existence of locally uniform Edgeworth expansions for the distributions of parameterized random vectors. Our motivation resides on the fact that this could enable subsequent polynomial asymptotic expansions of moments. These could be useful for the establishment of asymptotic properties for estimators based on these moments. We derive sufficient conditions either in the case of stochastic processes exhibiting weak dependence, or in the case of smooth transformations of such expansions.
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Bibliographic InfoPaper provided by Athens University of Economics and Business in its series DEOS Working Papers with number 1229.
Length: 48 pages
Date of creation: 05 Jun 2012
Date of revision: 24 Aug 2012
Locally uniform Edgeworth expansion; formal Edgeworth distribution; weak dependence; smooth transformations; moment approximations; GMM estimators; Indirect estimators; GARCH model;
Find related papers by 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-06 (All new papers)
- NEP-ECM-2012-12-06 (Econometrics)
- NEP-ETS-2012-12-06 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
- Gourieroux, C. & Monfort, A. & Renault, E., 1992.
92.279, Toulouse - GREMAQ.
- Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(03), pages 343-367, September.
- Stelios Arvanitis & Antonis Demos, .
"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.
- Antonis Demos & Stelios Arvanitis, 2012. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)," DEOS Working Papers 1230, Athens University of Economics and Business.
- Antonis Demos & Stelios Arvanitis, 2012. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators Revised (Extended Appendix)," DEOS Working Papers 1215, Athens University of Economics and Business.
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