Asymptotic expansions are made for the distributions of the Maximum Empirical Likelihood (MEL) estimator and the Estimating Equation (EE) estimator (or the Generalized Method of Moments (GMM) in econometrics) for the coefficients of a single structural equation in a system of linear simultaneous...

In this paper a form of the Lindeberg condition appropriate for martingale differences is used to obtain asymptotic normality of statistics for regression and autoregression. The regression model is yt = Bzt + vt. The unobserved error sequence {vt} is a sequence of martingale differences with...