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EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS

Published online by Cambridge University Press:  25 February 2013

Gubhinder Kundhi  and
Paul Rilstone
Gubhinder Kundhi*
Affiliation:
Carleton University
Paul Rilstone*
Affiliation:
York University
*
*Address correspondence to Paul Rilstone, Department of Economics, York University, 4700 Keele St., Toronto, Ontario M3J IP3, Canada; e-mail: pril@york.ca.
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Abstract

Simple methods are developed for deriving Edgeworth, saddlepoint, and related expansions for the estimators of multivariate and nonlinear models. Illustrations are provided. Simulations are reported indicating the methods work well compared to standard asymptotic and bootstrapped approaches.

Type
MISCELLANEA
Information
Econometric Theory , Volume 29 , Issue 5 , October 2013 , pp. 1057 - 1078
Copyright
Copyright © Cambridge University Press 2013 

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Footnotes

Research funding for Rilstone was provided by the Social Sciences and Humanities Research Council of Canada. The authors gratefully acknowledge the remarks of Lonnie Magee, Barry Smith, Augustine Wong, Peter C.B. Phillips, two anonymous referees, and seminar participants at La Trobe University, the 2005 Canadian Economic Association meetings in Hamilton, the 2009 Australasian Econometric Society meetings in Canberra, the 2009 Canadian Econometric Study Group meetings in Ottawa, and the 2009 International Conference on Computing and Finance in Sydney. Any errors are those of the authors.

References

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