Working Paper : 1229

Authors Arvanitis, S. and Demos, A.
Title Valid Locally Uniform Edgeworth Expansions Under Weak Dependence and Sequences of Smooth Transformations
Abstract In this paper we are concerned with the issue of the existence of locally uniform Edgeworth expansions for the distributions of parameterized random vectors. Our motivation resides on the fact that this could enable subsequent polynomial asymptotic expansions of moments. These could be useful for the establishment of asymptotic properties for estimators based on these moments. We derive sufficient conditions either in the case of stochastic processes exhibiting weak dependence, or in the case of smooth transformations of such expansions.
Lenght (pages) 48
Creation Date 2012-06-05
Revision Date 2012-08-24
Keywords Locally uniform Edgeworth expansion, formal Edgeworth distribution, weak dependence, smooth transformations, moment approximations, GMM estimators, Indirect estimators, GARCH model
Classification JEL C10, C13
File Unif-Edg-fin-wp.pdf (497867 bytes)
File-Function Revised version

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