Edgeworth expansions for GEL estimators

DOI10.1016/J.JMVA.2011.11.005MaRDI QIDQ765836zbMATHOpenAlexFDO

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

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)

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Cited in

(10)

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

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