Econometrica: Mar 1975, Volume 43, Issue 2

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

https://doi.org/0012-9682(197503)43:2<327:GAATTR>2.0.CO;2-P
p. 327-346

J. D. Sargan

This paper obtains Edgeworth or Gram-Charlier expansions for the t ratio of instrumental variable and k-class estimators, and uses them to give approximations to the confidence intervals obtained from these t ratios. These confidence intervals for large sample size are more accurate than the usual asymptotic confidence interval.

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