In this paper we are concerned with the issue of the existence of locally uniform Edgeworth expansions for the distributions of parameterized random vectors. Our motivation resides on the fact that this could enable subsequent polynomial asymptotic expansions of moments. These could be useful...

This paper deals with higher order asymptotic properties for three indirect inference estimators. We provide conditions that ensure the validity of locally uniform Edgeworth approximations. When these are of sufficiently high order they also form integrability conditions that validate locally...

This extended appendix contains detailed proofs for the results in the paper "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Estimators".

In this paper we are concerned with the issue of the existence of locally uniform Edgeworth expansions for the distributions of random vectors. Our motivation resides on the fact that this could enable subsequent uniform approximations of analogous moments and their derivatives. We derive...

This is an extended appendix for the revision of the paper Stochastic Expansions and Moment Approximations for Three Indirect Estimators.

This paper deals with properties of three indirect estimators that are known to be (first order) asymptotically equivalent. Specifically, we examine a) the issue of validity of the formal Edgeworth expansion of an arbitrary order. b) Given a), we are concerned with valid moment approximations...

In this paper we define a set of indirect estimators based on moment approximations of the auxilary estimators. We provide results that describe higher order asymptotic properties of these estimators. The introduction of these is motivated by reasons of analytical and computational facilitation....

In this paper we consider the time series dependence, stationarity, and higher moments issues of a family of first-order conditionally heteroskedastic in mean models with a possibly time-varying mean parameter. The interest in these models lies in the fact that economic theory and physics often...