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On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators (Extended Revised Appendix)

Author

Listed:
  • Antonis Demos

    (www.aueb.gr/users/demos)

  • Stelios Arvanitis

Abstract

This extended appendix contains detailed proofs for the results in the paper "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators".

Suggested Citation

  • 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.
    • Handle: RePEc:aue:wpaper:1230
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    File URL: http://wpa.deos.aueb.gr/docs/bias-ii-revis-ta-rev.pdf
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    References listed on IDEAS

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    1. repec:aue:wpaper:1214 is not listed on IDEAS
    2. Stelios Arvanitis & Antonis Demos, 2012. "Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations," DEOS Working Papers 1229, Athens University of Economics and Business, revised 24 Aug 2012.
    3. Magdalinos, Michael A., 1992. "Stochastic Expansions and Asymptotic Approximations," Econometric Theory, Cambridge University Press, vol. 8(3), pages 343-367, September.
    4. 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.
    5. Dimitra Kyriakopoulou & Antonis Demos, 2010. "Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models," DEOS Working Papers 1003, Athens University of Economics and Business.
    6. Mariano,Roberto & Schuermann,Til & Weeks,Melvyn J. (ed.), 2000. "Simulation-based Inference in Econometrics," Cambridge Books, Cambridge University Press, number 9780521591126.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.

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    More about this item

    Keywords

    Locally Uniform Edgeworth Expansions; Locally Uniform Moment Approximations; Bias Approximation; MSE Approximation; Binding Function; Recursive Indirect Estimators;
    All these keywords.

    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

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