Moments of the function of non-normal random vector with applications to econometric estimators and test statistics1

DOI10.1080/07474939508800331zbMath0836.62110OpenAlexW2021031712MaRDI QIDQ4860429

Nilanjana Roy, Aman Ullah, Virendra K. Srivastava

Publication date: 6 May 1996

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939508800331

zbMATH Keywords

momentsdynamic modelunit root teststest statisticsleast squares estimatorseconometric estimatorsfunctions of non-normal random vectorstwo-step semiparametric estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Exact distribution theory in statistics (62E15) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (4)

FINITE-SAMPLE MOMENTS OF THE COEFFICIENT OF VARIATION ⋮ Computing moments of ratios of quadratic forms in normal variables ⋮ Bias-adjusted estimation in the ARX(1) model ⋮ Uses of entropy and divergence measures for evaluating econometric approximations and infer\-ence.

Cites Work

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• Moments of OLS estimators in an autoregressive moving average model with explanatory variables
• On moments of ratios of quadratic forms in normal variables
• On adaptive estimation
• Adaptive maximum likelihood estimators of a location parameter
• Adaptive estimates for autoregressive processes
• Adaptive estimation of regression models via moment restrictions
• A Numerical Comparison of Exact, Large-Sample and Small-Disturbance Appoximations of Properties of k-Class Estimators
• Efficient Estimation of Simultaneous Equation Systems
• Comparison of k-Class Estimators When the Disturbances Are Small

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