Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators

DOI10.2307/1913589MaRDI QIDQ4085158zbMATH OpenOpenAlexFDO

Authors

Publication date 1975

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913589

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

Cited in

(12)

• Further exploration into the valid regions of Gram-Charlier densities
• A method for approximations to the PDF's and CDF's of GLSE's and its application to the seemingly unrelated regression model
• Gram-Charlier densities: a multivariate approach
• Asymptotic confidence intervals in ridge regression based on the Edgeworth expansion
• Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system
• Edgeworth Corrections for Realized Volatility
• Second order approximation in a linear regression with heteroskedasticity of unknown form
• Gram-Charlier densities: maximum likelihood versus the method of moments
• Second-order refinements for \(t\)-ratios with many instruments
• Expansions for multivariate densities
• The valid regions of Gram-Charlier densities with high-order cumulants
• An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator

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