Imhof Approximations to Econometric Estimators

Manuel Arellano and J. Sargan

The Review of Economic Studies, 1990, vol. 57, issue 4, 627-646

Abstract: The article develops new approximations to the distribution function of a general econometric estimator or test statistic from a linear model. The method relies heavily on the general arguments for the validity of Edgeworth approximations, and produces formulae of a similar type, except that, instead of using the cumulative normal distribution, an Imhof distribution is used derived from the exact distribution of a linear combination of the sample data second moments. On theoretical grounds this might be expected to give better approximations for some estimators. In practice comparisons were made between computed approximations of both types for several simple cases.

Date: 1990
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:57:y:1990:i:4:p:627-646.

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