Access

You are not currently logged in.

Access JSTOR through your library or other institution:

login

Log in through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Journal Article

Econometric Estimators and the Edgeworth Approximation

J. D. Sargan
Econometrica
Vol. 44, No. 3 (May, 1976), pp. 421-448
Published by: The Econometric Society
DOI: 10.2307/1913972
Stable URL: http://www.jstor.org/stable/1913972
Page Count: 28
Were these topics helpful?
See somethings inaccurate? Let us know!

Select the topics that are inaccurate.

Cancel
  • Read Online (Free)
  • Download ($10.00)
  • Subscribe ($19.50)
  • Add to My Lists
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Econometric Estimators and the Edgeworth Approximation
Preview not available

Abstract

A specialization of the Edgeworth type formulae due to Chambers [4] to approximate the marginal distribution of an econometric estimator is presented, and its application to improvement of the use of asymptotic limits in significance testing is discussed. Appendices discuss the validity of Nagar approximations to estimator moments, the exact distribution of the instrumental variable estimator, the Edgeworth approximations for 3SLS and FIML estimators, and the use of Monte Carlo procedures for assessing the appropriate probability to attach to a given significance test.

Page Thumbnails

  • Thumbnail: Page 
421
    421
  • Thumbnail: Page 
422
    422
  • Thumbnail: Page 
423
    423
  • Thumbnail: Page 
424
    424
  • Thumbnail: Page 
425
    425
  • Thumbnail: Page 
426
    426
  • Thumbnail: Page 
427
    427
  • Thumbnail: Page 
428
    428
  • Thumbnail: Page 
429
    429
  • Thumbnail: Page 
430
    430
  • Thumbnail: Page 
431
    431
  • Thumbnail: Page 
432
    432
  • Thumbnail: Page 
433
    433
  • Thumbnail: Page 
434
    434
  • Thumbnail: Page 
435
    435
  • Thumbnail: Page 
436
    436
  • Thumbnail: Page 
437
    437
  • Thumbnail: Page 
438
    438
  • Thumbnail: Page 
439
    439
  • Thumbnail: Page 
440
    440
  • Thumbnail: Page 
441
    441
  • Thumbnail: Page 
442
    442
  • Thumbnail: Page 
443
    443
  • Thumbnail: Page 
444
    444
  • Thumbnail: Page 
445
    445
  • Thumbnail: Page 
446
    446
  • Thumbnail: Page 
447
    447
  • Thumbnail: Page 
448
    448