Moments of the ratio of quadratic forms in non-normal variables with econometric examples

DOI10.1016/0304-4076(94)90019-1zbMath0796.62109OpenAlexW2092489900MaRDI QIDQ1329127

Aman Ullah, Virendra K. Srivastava

Publication date: 29 June 1994

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(94)90019-1

zbMATH Keywords

estimatorstest statisticshigher-order approximate momentsnormal caseratio of quadratic forms in the non- normal vector

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (17)

Pitman Nearness and Concentration Probability Comparisons of the Sample Coefficient of Determination and Its Adjusted Version in Linear Regression Models ⋮ On Sample Skewness and Kurtosis ⋮ The coefficient of determination and its adjusted version in linear regression models ⋮ Goodness of fit for generalized shrinkage estimation ⋮ Moments of regression F-statistics under non-normality ⋮ Moments of regression F-statistics under non-normality ⋮ Coefficient of determination for multiple measurement error models ⋮ The second-order bias and mean squared error of estimators in time-series models ⋮ Comparing approximations to the expectation of a ratio of quadratic forms in normal variables ⋮ Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model ⋮ Goodness of fit in nonparametric regression modelling ⋮ FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION ⋮ Computing moments of ratios of quadratic forms in normal variables ⋮ ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS ⋮ Unnamed Item ⋮ Goodness of fit in restricted measurement error models ⋮ Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence.

Cites Work

• Unnamed Item
• Moments of OLS estimators in an autoregressive moving average model with explanatory variables
• On moments of ratios of quadratic forms in normal variables
• The exact moments of OLS in dynamic regression models with non-normal errors
• On the expectation of a ratio of quadratic forms in normal variables
• Mean and variance of \(R^ 2\) in small and moderate samples
• Double k-Class Estimators of Parameters in Simultaneous Equations and Their Small Sample Properties
• A Numerical Comparison of Exact, Large-Sample and Small-Disturbance Appoximations of Properties of k-Class Estimators
• Bayesian and Non-Bayesian Analysis of the Regression Model with Multivariate Student-t Error Terms
• Comparison of k-Class Estimators When the Disturbances Are Small

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