Electronic Resource
New York
:
Cambridge University Press
Econometric theory
13 (1997), S. 52-78
ISSN:
0266-4666
Source:
Cambridge Journals Digital Archives
Topics:
Economics
Notes:
A typical statistic encountered can be characterized as a ratio of polynomials of arbitrary degree in a random vector. This vector may possess any admissible cumulant structure. We provide in this paper general formulae for the effect of nonnormality on the density and distribution functions of this ratio. The results appear in terms of generalized cumulants, a theory developed by McCullagh (1984, Biometrika 71, 461–476). With the aid of suitable notation, the expressions are applied to the distributions of tests for heteroskedasticity and autocorrelation, the least-squares estimator of the autoregressive coefficient in a dynamic model, and tests for linear restrictions.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1017/S0266466600005648
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