Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations
Stelios Arvanitis () and
Antonis Demos ()
No 1229, DEOS Working Papers from Athens University of Economics and Business
In this paper we are concerned with the issue of the existence of locally uniform Edgeworth expansions for the distributions of parameterized random vectors. Our motivation resides on the fact that this could enable subsequent polynomial asymptotic expansions of moments. These could be useful for the establishment of asymptotic properties for estimators based on these moments. We derive sufficient conditions either in the case of stochastic processes exhibiting weak dependence, or in the case of smooth transformations of such expansions.
Keywords: Locally uniform Edgeworth expansion; formal Edgeworth distribution; weak dependence; smooth transformations; moment approximations; GMM estimators; Indirect estimators; GARCH model (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2012-06-05, Revised 2012-08-24
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
http://wpa.deos.aueb.gr/docs/Unif-Edg-fin-wp.pdf Revised version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:aue:wpaper:1229
Access Statistics for this paper
More papers in DEOS Working Papers from Athens University of Economics and Business Contact information at EDIRC.
Series data maintained by Ekaterini Glynou ().