Edgeworth expansions for errors-in-variables models

Gutti Jogesh Babu and Z. D. Bai

Journal of Multivariate Analysis, 1992, vol. 42, issue 2, 226-244

Abstract: Edgeworth expansions for sums of independent but not identically distributed multivariate random vectors are established. The results are applied to get valid Edgeworth expansions for estimates of regression parameters in linear errors-in-variable models. The expansions for studentized versions are also developed. Further, Edgeworth expansions for the corresponding bootstrapped statistics are obtained. Using these expansions, the bootstrap distribution is shown to approximate the sampling distribution of the studentized estimators, better than the classical normal approximation.

Keywords: bootstrap; Edgeworth; expansions; errors-in-variable; models; skewness (search for similar items in EconPapers)
Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(92)90045-H
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:42:y:1992:i:2:p:226-244

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().