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EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS
Published online by Cambridge University Press: 25 February 2013
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.
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- Copyright © Cambridge University Press 2013
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.
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