We establish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald statistic derived from it. We employ local polynomial smoothing with variable...

We stablish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald statistic derived from it. We emply local polynomial smoothing with variable...

We propose three analytic approximation methods for numerical valuation of the guaranteed annuity options in deferred annuity pension policies. The approximation methods include the stochastic duration approach, Edgeworth expansion, and analytic approximation in affine diffusions. The payoff...

We develop simple procedures to test for omitted variables and perform other tests in regression directions, which are asymptotically valid in the presence of heteroskedasticity of unknown form. We examine the asymptotic behaviour of these tests, and use Edgeworth approximations to study their...

We develop simple procedures to test for omitted variables and perform other tests in regression directions, which are asymptotically valid in the presence of heteroskedasticity of unknown form. We examine the asymptotic behaviour of these tests, and use Edgeworth approximations to study their...