Edgeworth expansions for M-estimators of a regression parameter

This paper gives rth order Edgeworth expansions (r >= 3) for M-estimators of a regression parameter in a simple linear regression model. The regularity conditions used here essentially require the smoothness of some integrals of the score function with respect to the underlying error distribution. As a result, these expansions are valid for robust M-estimators corresponding to nonsmooth score functions.

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Year of publication:	1992
Authors:	Lahiri, S. N.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 43.1992, 1, p. 125-132
Publisher:	Elsevier
Keywords:	Edgeworth expansion M-estimator regression location model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005152837