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

DOI10.2307/1912315MaRDI QIDQ4151058zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 1977

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1912315

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cited in

(25)

• ASYMPTOTIC EXPANSIONS FOR THE DISTRIBUTIONS OF SERIAL CORRELATIONS
• Edgeworth expansions for GEL estimators
• Edgeworth approximations in first-order stochastic difference equations with exogenous variables
• The exact moments of OLS in dynamic regression models with non-normal errors
• Further exploration into the valid regions of Gram-Charlier densities
• 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
• Testing for cointegration using principal components methods
• TRANSFORMATIONS FOR MULTIVARIATE STATISTICS
• 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

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