A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System

DOI10.2307/1914016zbMath0418.65069OpenAlexW1988711676MaRDI QIDQ3851569

Alberto Holly, Peter C. B. Phillips

Publication date: 1979

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1914016

zbMATH Keywords

asymptotic expansionsdistribution functionsingle equationsaddle point approximationEdgeworth approximationssimultaneous systemdistributions of coefficients

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Probabilistic methods, stochastic differential equations (65C99)

Related Items (4)

EXACT DISTRIBUTION THEORY IN STRUCTURAL ESTIMATION WITH AN IDENTITY ⋮ The empirical saddlepoint estimator ⋮ Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models ⋮ EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS

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