Abstract

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Rearranging Edgeworth-Cornish-Fisher Expansions


Victor Chernozhukov


Massachusetts Institute of Technology (MIT) - Department of Economics; New Economic School

Iván Fernández‐Val


Boston University - Department of Economics

Alfred Galichon


Sciences Po - Department of Economics

August 13, 2007

Economic Theory, Vol. 42, No. 2, pp. 419-435, 2010
MIT Department of Economics Working Paper No. 07-20

Abstract:     
This paper applies a regularization procedure called increasing rearrangement to monotonize Edgeworth and Cornish-Fisher expansions and any other related approximations of distribution and quantile functions of sample statistics. Besides satisfying the logical monotonicity, required of distribution and quantile functions, the procedure often delivers strikingly better approximations to the distribution and quantile functions of the sample mean than the original Edgeworth-Cornish-Fisher expansions.

Number of Pages in PDF File: 23

Keywords: Edgeworth expansion, Cornish-Fisher expansion, rearrangement

JEL Classification: J02, E20, P20

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Date posted: August 15, 2007 ; Last revised: April 9, 2011

Suggested Citation

Chernozhukov, Victor and Fernández‐Val, Iván and Galichon, Alfred, Rearranging Edgeworth-Cornish-Fisher Expansions (August 13, 2007). Economic Theory, Vol. 42, No. 2, pp. 419-435, 2010; MIT Department of Economics Working Paper No. 07-20. Available at SSRN: http://ssrn.com/abstract=1007282

Contact Information

Victor Chernozhukov (Contact Author)
Massachusetts Institute of Technology (MIT) - Department of Economics ( email )
50 Memorial Drive
Room E52-262f
Cambridge, MA 02142
United States
617-253-4767 (Phone)
617-253-1330 (Fax)
HOME PAGE: http://www.mit.edu/~vchern/
New Economic School
47 Nakhimovsky Prospekt
Moscow, 117418
Russia
Ivan Fernandez-Val
Boston University - Department of Economics ( email )
270 Bay State Road
Boston, MA 02215
United States
HOME PAGE: http://people.mit.edu/ivanf
Alfred Galichon
Sciences Po - Department of Economics ( email )
27 rue Saint-Guillaume
Paris Cedex 07, 75337
France
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