On Edgeworth Expansion and Moving Block Bootstrap for StudentizedM-Estimators in Multiple Linear Regression Models

Soumendra Nath Lahiri

Journal of Multivariate Analysis, 1996, vol. 56, issue 1, 42-59

Abstract: This paper considers the multiple linear regression modelYi=xi'[beta]+[var epsilon]i,i=i, ..., n, wherexi's are knownp-1 vectors,[beta]is ap-1 vector of parameters, and[var epsilon]1,[var epsilon]2, ... are stationary, strongly mixing random variables. Let[beta]ndenote anM-estimator of[beta]corresponding to some score function[psi]. Under some conditions on[psi],xi's and[var epsilon]i's, a two-term Edgeworth expansion for Studentized multivariateM-estimator is proved. Furthermore, it is shown that the moving block bootstrap is second-order correct for some suitable bootstrap analog of Studentized[beta]n.

Keywords: Edgeworth; expansion; moving; block; bootstrap; M-estimators; multiple; linear; regression; stationarity; strong; mixing; Studentization; (null) (search for similar items in EconPapers)
Date: 1996
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Citations: View citations in EconPapers (17)

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