Stochastic Expansions and Moment Approximations for Three Indirect Estimators

Antonis Demos and Stelios Arvanitis ()
Authors registered in the RePEc Author Service: Phoebe Koundouri ()

No 1004, DEOS Working Papers from Athens University of Economics and Business

Abstract: This paper deals with properties of three indirect estimators that are known to be (first order) asymptotically equivalent. Specifically, we examine a) the issue of validity of the formal Edgeworth expansion of an arbitrary order. b) Given a), we are concerned with valid moment approximations and employ them to characterize the second order bias structure of the estimators. Our motivation resides on the fact that one of the three is reported by the relevant literature to be second order unbiased. However, this result was derived without any establishment of validity. We provide this establishment, but we are also able to massively generalize the conditions under which this second order property remains true. In this way, we essentially prove their higher order inequivalence. We generalize indirect estimators by introducing recursive ones, emerging from multistep optimization procedures. We are able to establish higher order unbiaseness for estimators of this sort.

Keywords: Asymptotic Approximation; Second Order Bias Structure; Binding Function; Local Canonical Representation; Convex Variational Distance; Recursive Indirect Estimators; Higher order Bias. (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
Date: 2010-03-17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://wpa.deos.aueb.gr/docs/bias-ii-f.pdf First version (application/pdf)

Related works:
Working Paper: Stochastic Expansions and Moment Approximations for Three Indirect Estimators (2010)
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:aue:wpaper:1004

Access Statistics for this paper

More papers in DEOS Working Papers from Athens University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Ekaterini Glynou ().