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Keyword: edgeworth expansion;

6 results found.

Econometrics Paper

Improved Lagrange Multiplier Tests in Spatial Autoregressions

Peter M Robinson and Francesca Rossi

For testing lack of correlation against spatial autoregressive alternatives, Lagrange multiplier tests enjoy their usual computational advantages, but the (x squared) first-order asymptotic approximation to critical valu...Read more...

20 November 2013

Econometrics Paper

Improved Tests for Spatial Correlation

Peter M Robinson and Francesca Rossi

We consider testing the null hypothesis of no spatial autocorrelation against the alternative of first order spatial autoregression. A Wald test statistic has good first order asymptotic properties, but these may not be ...Read more...

20 November 2013

Econometrics Paper

Edgeworth Expansions for Semiparametric Whittle Estimation of Long Memory

Liudas Giraitis and Peter M Robinson

The semiparametric local Whittle or Gaussian estimate of the long memory parameter is known to have especially nice limiting distributional properties, being asymptotically normal with a limiting variance that is complet...Read more...

September 2002

Econometrics Paper

Edgeworth Expansions for Spectral Density Estimates and Studentized Sample Mean - (Now published in 'Economic Theory', 17 (2001), pp.497-539.

Peter M Robinson and Carlos Velasco

We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the same mean, where the studentization employs such a n...Read more...

May 2000

Econometrics Paper

Studentization in Edgworth Expansions for Estimates of Semiparametric Index Models - (Now published in C Hsiao, K Morimune and J Powell (eds): 'Nonlinear Statistical Modeling' (Festschrift for Takeshi Amemiya), (Cambridge University Press, 2001), pp.197-240.)

Yoshihiko Nishiyama and Peter M Robinson

We establish valid theoretical and empirical Edgeworth expansions for density-weighted averaged derivative estimates of semiparametric index models....Read more...

October 1999

Econometrics Paper

Edgeworth Expansions for Semiparametric Averaged Derivatives - (Now published in 'Econometrica', 68 (2000), pp.931-979.)

Yoshihiko Nishiyama and Peter M Robinson

A valid Edgeworth expansion is established for the limit distribution of density-weighted semiparametric averaged derivative estimates of single index models. The leading term that corrects the normal limit varies in mag...Read more...

October 1999