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Stochastic Expansions and Asymptotic Approximations

Published online by Cambridge University Press:  18 October 2010

Michael A. Magdalinos
Michael A. Magdalinos
Affiliation:
Athens University of Economics and Business
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Abstract

Under general conditions the distribution function of the first few terms in a stochastic expansion of an econometric estimator or test statistic provides an asymptotic approximation to the distribution function of the original estimator or test statistic with an error of order less than that of the limiting normal or chi-square approximation. This can be used to establish the validity of several refined asymptotic methods, including the comparison of Nagar-type moments and the use of formal Edgeworth or Edgeworth-type approximations.

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Articles
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Econometric Theory , Volume 8 , Issue 3 , September 1992 , pp. 343 - 367
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Copyright © Cambridge University Press 1992

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