Edgeworth expansions for GEL estimators

DOI10.1016/J.JMVA.2011.11.005zbMATH Open1235.62053OpenAlexW2059067505MaRDI QIDQ765836FDOQ765836

Authors: Gubhinder Kundhi, Paul Rilstone 

Publication date: 22 March 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.11.005

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• scientific article; zbMATH DE number 3930130

zbMATH Keywords

generalized method of momentsgeneralized empirical likelihoodhigher order asymptotics

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• The second-order bias and mean squared error of nonlinear estimators
• Title not available (Why is that?)
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• On the validity of the formal Edgeworth expansion
• Empirical likelihood and general estimating equations
• Title not available (Why is that?)
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• The bootstrap and Edgeworth expansion
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bootstrap tests: how many bootstraps?
• Corrigendum to: ``The second-order bias and mean squared error of nonlinear estimators
• EMPIRICAL LIKELIHOOD BASED INFERENCE WITH APPLICATIONS TO SOME ECONOMETRIC MODELS
• One-Step Estimators for Over-Identified Generalized Method of Moments Models
• A third-order optimum property of the maximum likelihood estimator
• Asymptotic Approximations to Distributions
• Econometric Estimators and the Edgeworth Approximation
• A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators
• On the Formulation of Wald Tests of Nonlinear Restrictions
• The \(n^{-2}\)-order mean squared errors of the maximum likelihood and the minimum logit chi-square estimator
• Second order efficiency of the MLE with respect to any bounded bowl- shaped loss function
• The Third-Order Bias of Nonlinear Estimators
• On methods of asymptotic approximation for multivariate distributions

Cited In (10)

• Rearranging Edgeworth-Cornish-Fisher expansions
• A higher-order correct fast moving-average bootstrap for dependent data
• Improved density and distribution function estimation
• On oracle property and asymptotic validity of Bayesian generalized method of moments
• Saddlepoint expansions for GEL estimators
• Higher Order Properties of Gmm and Generalized Empirical Likelihood Estimators
• Edgeworth expansions for errors-in-variables models
• Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
• On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
• GEL statistics under weak identification

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