Econometrica: May 1976, Volume 44, Issue 3

Econometric Estimators and the Edgeworth Approximation<421:EEATEA>2.0.CO;2-1
p. 421-448

J. D. Sargan

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.

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