A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators

Cited In (25)

Edgeworth expansions for GEL estimators
Further exploration into the valid regions of Gram-Charlier densities
Edgeworth approximations in first-order stochastic difference equations with exogenous variables
The exact moments of OLS in dynamic regression models with non-normal errors
Higher order asymptotic theory when a parameter is on a boundary with an application to GARCH models
A method for approximations to the PDF's and CDF's of GLSE's and its application to the seemingly unrelated regression model
Understanding spurious regressions in econometrics
VALIDITY OF EDGEWORTH EXPANSIONS FOR STATISTICS OF TIME SERIES
TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
Testing for cointegration using principal components methods
Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system
Saddlepoint expansions for GEL estimators
Cornish-Fisher expansions for sample autocovariances and other functions of sample moments of linear processes
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
Asymptotic expansions for conditional distributions
The valid regions of Gram-Charlier densities with high-order cumulants
The second-order bias and mean squared error of nonlinear estimators
On calculating the Edgeworth approximate distribution of an econometric estimator or test statistic
The sampling distribution of forecasts from a first-order autoregression
On the behavior of inconsistent instrumental variable estimators
An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator
ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTIONS OF SERIAL CORRELATIONS

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