ABSTRACT
The result (ii) implies that the rate of convergence of finite-sample distribution to the normal limit distribution is equal to that of standard parametric statistics, and that the order O(n-112) corresponds to the secondorder asymptotics (for time series situation, see Taniguchi ( 1991 )). It may be noted that Hardie and Stoker ( 1989) proposed another type of estimator for li· and derived its "first-order" asymptotic distribution.
