On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators

DOI10.1515/jem-2015-0009zbMath1420.62474MaRDI QIDQ2312951

Antonis Demos, Stelios Arvanitis

Publication date: 18 July 2019

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/jem-2015-0009

zbMATH Keywords

bootstrap; Monte Carlo; bias approximation; binding function; locally uniform Edgeworth expansions; locally uniform moment approximations; MSE approximation; recursive indirect estimators

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G20: Asymptotic properties of nonparametric inference

62G09: Nonparametric statistical resampling methods

Related Items

Simulation-Based Bias Correction Methods for Complex Models, Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations, Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model, On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators

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