Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations

Arvanitis Stelios () and Antonis Demos
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Arvanitis Stelios: Department of Economics, AUEB, Patision 76, Athens 10434, Greece

Journal of Time Series Econometrics, 2014, vol. 6, issue 2, 183-235

Abstract: This article examines the existence of locally uniform Edgeworth expansions for the distributions of parameterized random vectors. This could be useful for the establishment of high-order asymptotic properties for estimators and test statistics that are potentially based on moments of those vectors. We derive sufficient conditions either in the case of stationary 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)
Date: 2014
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Citations: View citations in EconPapers (1)

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DOI: 10.1515/jtse-2012-0003

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