EDGEWORTH AND SADDLEPOINT EXPANSIONS FOR NONLINEAR ESTIMATORS

Gubhinder Kundhi and Paul Rilstone

Econometric Theory, 2013, vol. 29, issue 5, 1057-1078

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.

Date: 2013
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