Valid Edgeworth Expansions of M-Estimators in Regression Models with Weakly Dependent Resfduals

Masanobu Taniguchi and Madan L. Puri

Econometric Theory, 1996, vol. 12, issue 02, pages 331-346

Abstract: Consider a linear regression model y1 = x1 is an unknown parameter. We define an M-estimator corresponding to a smooth score function. Then, the second-order Edgeworth expansion for n) of n. Then, a sufficient condition for T to extinguish the second-order terms is given. The results are applicable to many statistical problems.

Date: 1996

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:12:y:1996:i:02:p:331-346_00

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