Higher-Order Stochastic Expansions and Approximate Moments for Non-linear Models with Heterogeneous Observations

Paul Rilstone ()
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Paul Rilstone: York University

Journal of Quantitative Economics, 2021, vol. 19, issue 1, No 7, 99-120

Abstract: Abstract Higher-order asymptotic theory for estimators of the parameters of non-linear models with heterogeneous observations is developed. New methods for deriving stochastic expansions and approximate first through fourth moments of these estimators are presented.

Keywords: Stochastic approximations; Approximate moments; Non-linear (search for similar items in EconPapers)
JEL-codes: C13 C18 C40 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s40953-021-00265-9

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