An iterated bootstrap confidence interval requires an additive correction to be made to the nominal coverage level of an uncorrected interval. Such correction is usually performed using a computationally intensive Monte Carlo simulation involving two nested levels of bootstrap sampling....

In this paper we define a set of Indirect Inference estimators based on moment approximations of the auxiliary ones. Their introduction is motivated by reasons of analytical and computational facilitation. Their definition provides an indirect inference framework for some "classical" bias...

This paper derives second-order expansions for the distributions of the Whittle and profile plug-in maximum likelihood estimators of the fractional difference parameter in the ARFIMA(0,d,0) with unknown mean and variance. Both estimators are shown to be second-order pivotal. This extends earlier...

The standard confidence regions based on the first-order approximation of quantile regression estimators can be inaccurate in small samples. We show that confidence regions based on the smoothed empirical likelihood ratio have coverage errors of order n^{-1} and may be Bartlett-corrected to...