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

DOI10.1515/jem-2015-0009zbMath1420.62474OpenAlexW3125571738MaRDI 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

bootstrapMonte Carlobias approximationbinding functionlocally uniform Edgeworth expansionslocally uniform moment approximationsMSE approximationrecursive indirect estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items

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 ⋮ Simulation-Based Bias Correction Methods for Complex Models

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