Edgeworth expansions for M-estimators of a regression parameter

S. N. Lahiri

Journal of Multivariate Analysis, 1992, vol. 43, issue 1, 125-132

Abstract: This paper gives rth order Edgeworth expansions (r >= 3) for M-estimators of a regression parameter in a simple linear regression model. The regularity conditions used here essentially require the smoothness of some integrals of the score function with respect to the underlying error distribution. As a result, these expansions are valid for robust M-estimators corresponding to nonsmooth score functions.

Keywords: Edgeworth; expansion; M-estimator; regression; location; model (search for similar items in EconPapers)
Date: 1992
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