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Rearranging Edgeworth-Cornish-Fisher expansions

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Author Info
Victor Chernozhukov () (Institute for Fiscal Studies and Massachusetts Institute of Technology)
Ivan Fernandez-Val
Alfred Galichon

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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://cemmap.ifs.org.uk/wps/cwp1907.pdf
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Publisher Info
Paper provided by Centre for Microdata Methods and Practice, Institute for Fiscal Studies in its series CeMMAP working papers with number CWP19/07.

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Date of creation: Aug 2007
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Handle: RePEc:ifs:cemmap:19/07

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  1. 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. [Downloadable!] (restricted)
  2. Sargan, J D, 1976. "Econometric Estimators and the Edgeworth Approximation," Econometrica, Econometric Society, vol. 44(3), pages 421-48, May. [Downloadable!] (restricted)
  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. [Downloadable!]
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This page was last updated on 2009-11-27.

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