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Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations

  • Stelios Arvanitis

    ()

  • Antonis Demos

    ()

    (www.aueb.gr/users/demos)

In 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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File URL: http://wpa.deos.aueb.gr/docs/Unif-Edg-fin-wp.pdf
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Paper provided by Athens University of Economics and Business in its series DEOS Working Papers with number 1229.

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Length: 48 pages
Date of creation: 05 Jun 2012
Date of revision: 24 Aug 2012
Handle: RePEc:aue:wpaper:1229
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  1. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
  2. 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.
  3. Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(03), pages 343-367, September.
  4. Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
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