Fractional Matrix Calculus and the Distribution of Multivariate Tests
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Note: CFP 664.
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References listed on IDEAS
- Phillips, P.C.B., 1984.
"The exact distribution of the Stein-rule estimator,"
Journal of Econometrics, Elsevier, vol. 25(1-2), pages 123-131.
- Peter C.B. Phillips, 1983. "The Exact Distribution of the Stein-Rule Estimator," Cowles Foundation Discussion Papers 682, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P C B, 1986.
"The Exact Distribution of the Wald Statistic,"
Econometrica, Econometric Society, vol. 54(4), pages 881-895, July.
- Peter C.B. Phillips, 1984. "The Exact Distribution of the Wald Statistic," Cowles Foundation Discussion Papers 722, Cowles Foundation for Research in Economics, Yale University.
- Knight, John. L., 1986. "The Distribution of the Stein-Rule Estimator in a Model with Non-Normal Disturbances," Econometric Theory, Cambridge University Press, vol. 2(2), pages 202-219, August.
- Phillips, Peter C B, 1985. "The Exact Distribution of the SUR Estimator," Econometrica, Econometric Society, vol. 53(4), pages 745-756, July.
- Peter C.B. Phillips, 1983. "Finite Sample Econometrics Using ERA's," Cowles Foundation Discussion Papers 683, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips, 1983. "An Everywhere Convergent Series Representation of the Distribution of Hotelling's Generalized T_{0}^{2}," Cowles Foundation Discussion Papers 723R, Cowles Foundation for Research in Economics, Yale University, revised Mar 1986.
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Cited by:
- Peter C.B. Phillips, 1999. "Discrete Fourier Transforms of Fractional Processes," Cowles Foundation Discussion Papers 1243, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C B, 1994.
"Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models,"
Econometrica, Econometric Society, vol. 62(1), pages 73-93, January.
- Peter C.B. Phillips, 1992. "Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models," Cowles Foundation Discussion Papers 1039, Cowles Foundation for Research in Economics, Yale University.
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Keywords
Fractional matrix calculus; multivariate tests; exact distribution theory; asymptotic expansions;All these keywords.
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