Gram-Charlier Approximations Applied to t Ratios of k-Class Estimators

DOI10.2307/1913589zbMath0322.62107OpenAlexW2104485393MaRDI QIDQ4085158

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Publication date: 1975

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913589

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric tolerance and confidence regions (62F25) Exact distribution theory in statistics (62E15) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60)

Related Items (12)

Second-order refinements for \(t\)-ratios with many instruments ⋮ Expansions for multivariate densities ⋮ Further exploration into the valid regions of Gram-Charlier densities ⋮ Asymptotic expansions of the distributions of the estimates of coefficients in a simultaneous equation system ⋮ Asymptotic confidence intervals in ridge regression based on the Edgeworth expansion ⋮ Gram-Charlier densities: maximum likelihood versus the method of moments ⋮ Second order approximation in a linear regression with heteroskedasticity of unknown form ⋮ Edgeworth Corrections for Realized Volatility ⋮ An approximation to the finite sample distribution of Zellner's seemingly unrelated regression estimator ⋮ Gram–Charlier densities: a multivariate approach ⋮ The valid regions of Gram-Charlier densities with high-order cumulants ⋮ A method for approximations to the PDF's and CDF's of GLSE's and its application to the seemingly unrelated regression model

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