Econometric Estimators and the Edgeworth Approximation
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(47)- The sampling distributions of the predictor for an autoregressive model under misspecifications
- Validity of the formal Edgeworth expansion when the underlying distribution is partly discrete
- A ridge-like method for simultaneous estimation of simultaneous equations
- Asymptotic distributions of functions of the eigenvalues of some random matrices for nonnormal populations
- On the behavior of inconsistent instrumental variable estimators
- A reply to Professors Maasoumi and Phillips
- An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
- Regression using mixed annual and quarterly data
- Optimal instruments when the disturbances are small
- Higher-order approximations for frequency domain time series regression
- An alternative approach to obtaining Nagar-type moment approximations in simultaneous equation models
- Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- Cointegration tests in the presence of structural breaks
- Estimation in dynamic regression with an integrated process
- Some small-sample properties of instrumental-variables estimators of block triangular models
- Approximation of asymmetric multivariate return distributions
- The valid regions of Gram-Charlier densities with high-order cumulants
- Half-panel jackknife estimation for dynamic panel models
- On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
- Optimal jackknife for unit root models
- Gram-Charlier densities: maximum likelihood versus the method of moments
- Edgeworth and moment approximations: the case of MM and QML estimators for the MA(1) models
- Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
- Parameter estimation and bias correction for diffusion processes
- Assessing the value of Hermite densities for predictive distributions
- VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
- YET MORE ON THE EXACT PROPERTIES OF IV ESTIMATORS
- Comparison of improved regression estimators with and without moments
- COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS
- Gram-Charlier densities: a multivariate approach
- On calculating the Edgeworth approximate distribution of an econometric estimator or test statistic
- The relevance of large sample properties of estimators for the errors-in-variables model:a monte carlo study
- The second-order bias and mean squared error of estimators in time-series models
- IN MEMORY OF JOHN DENIS SARGAN
- Denis Sargan: some perspectives
- Vision and influence in econometrics: John Denis Sargan
- ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTIONS OF SERIAL CORRELATIONS
- Second order approximation in a linear regression with heteroskedasticity of unknown form
- TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
- Further exploration into the valid regions of Gram-Charlier densities
- A type of truncated logistic distribution with skewed, peaked, and heavy-tailed properties and its application
- Edgeworth expansions for GEL estimators
- Test for normality in the econometric disequilibrium markets model
- Rearranging Edgeworth-Cornish-Fisher expansions
- Expansions for multivariate densities
- The bias of in dynamic models
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