ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS

DOI10.1017/S0266466604204042zbMath1125.62321OpenAlexW2169924074MaRDI QIDQ5719158

Alan T. K. Wan, Huai-Zhen Qin

Publication date: 17 January 2006

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

Full work available at URL: https://doi.org/10.1017/s0266466604204042

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Linear regression; mixed models (62J05)

Related Items (6)

TAIL DEPENDENCE OF OLS ⋮ Goodness-of-fit testing-based selection for large-\(p\)-small-\(n\) problems: a two-stage ranking approach ⋮ On the sensitivity of pre-test estimators to covariance misspecification ⋮ On the sensitivity of the one-sided \(t\) test to covariance misspecification ⋮ The asymptotic distribution of the F‐test statistic for individual effects ⋮ Testing inequality constraints in a linear regression model with spherically symmetric disturbances

Cites Work

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• Bayes prediction in regressions with elliptical errors
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• A multivariate version of Ghosh's \(T_{3}\)-plot to detect non-multinormality.
• Moments of the ratio of quadratic forms in non-normal variables with econometric examples
• Testing linear restrictions on coefficients in a linear regression model with proxy variables and spherically symmetric disturbances
• Testing multinormality based on low-dimensional projection
• Comparing the exact distribution of the t-statistic to student's distribution when its constituent normal and chi-squared variables are dependent
• Exact t and F Tests for Analyzing Studies with Multiple Endpoints
• The emperor's new clothes: a critique of the multivariate t regression model
• The n.s. conditions for the ration of two quadratic forms to have an f-distribution and its applications
• New Tests for Data with an Inherent Structure

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