OVER THE LAST FORTY YEARS, there has emerged a considerable quantity of results concerned with parameter estimation in economic models. The estimators of the parameters typically have complicated density functions, making the

摘要: derivation of exact confidence intervals and tests a difficult task. Economists have therefore turned to various methods approximating the densities which most popular been use asymptotic approximations Edgeworth approximations. Asymptotic approximations, that is, using density as an approximation for density, great virtue simplicity. This simplicity is purchased at cost inaccuracy, inaccuracy can be considerable if sample size small. The attempts trade off against accuracy by considering expansion actual about in decreasing powers 1/ T, where T size; more detailed discussion on see P. C. B. Phillips [9].