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The Exact Moments of a Ratio of Quadratic Forms in Normal Variables

Citations

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Cited by:

  1. Sander Muns, 2019. "An iterative algorithm to bound partial moments," Computational Statistics, Springer, vol. 34(1), pages 89-122, March.
  2. van der Genugten, B.B., 1991. "Density of the f-statistic in the linear model with arbitrarily normal distributed errors," Other publications TiSEM 337c9727-0c23-4e00-9193-5, Tilburg University, School of Economics and Management.
  3. Ahamada Ibrahim & Boutahar Mohamed, 2012. "Power of the KPSS test against shift in variance: a further investigation," Economics Bulletin, AccessEcon, vol. 32(1), pages 854-865.
  4. Magnus, J.R. & Pesaran, B., 1990. "Evaluation of moments of ratios of quadratic forms in normal variables and related statistics," Discussion Paper 1990-19, Tilburg University, Center for Economic Research.
  5. van der Genugten, B.B., 1992. "Density of the least squares estimator in the multivariate linear model with arbitrarily normal variables," Research Memorandum FEW 564, Tilburg University, School of Economics and Management.
  6. Kan, Raymond, 2008. "From moments of sum to moments of product," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 542-554, March.
  7. Philip Reiss & Lei Huang & Joseph Cavanaugh & Amy Roy, 2012. "Resampling-based information criteria for best-subset regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1161-1186, December.
  8. Magnus, J.R. & Pesaran, B., 1990. "Forecasting, misspecification and unit roots : The case of Ar(1) versus ARMA(1,1)," Discussion Paper 1990-2, Tilburg University, Center for Economic Research.
  9. Paolella, Marc S., 2003. "Computing moments of ratios of quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 313-331, March.
  10. repec:esx:essedp:727 is not listed on IDEAS
  11. Poskitt, D.S. & Grose, Simone D. & Martin, Gael M., 2015. "Higher-order improvements of the sieve bootstrap for fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 188(1), pages 94-110.
  12. Demos Antonis & Kyriakopoulou Dimitra, 2019. "Finite-Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," Journal of Time Series Econometrics, De Gruyter, vol. 11(1), pages 1-20, January.
  13. Hillier, Grant & Kan, Raymond & Wang, Xiaolu, 2009. "Computationally Efficient Recursions For Top-Order Invariant Polynomials With Applications," Econometric Theory, Cambridge University Press, vol. 25(1), pages 211-242, February.
  14. Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
  15. Valérie Mignon & Christophe Hurlin, 2005. "Une synthèse des tests de racine unitaire sur données de panel," Économie et Prévision, Programme National Persée, vol. 169(3), pages 253-294.
  16. van der Genugten, B.B., 1992. "Density of the least squares estimator in the multivariate linear model with arbitrarily normal variables," Other publications TiSEM 743bba45-e7e0-4746-a6a6-e, Tilburg University, School of Economics and Management.
  17. Magnus, J.R. & Pesaran, B., 1990. "Evaluation Of Moment Of Quadratic Forms In Normal Variables," Papers 9021, Tilburg - Center for Economic Research.
  18. Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
  19. Marcus J. Chambers & Maria Kyriacou, 2018. "Jackknife Bias Reduction in the Presence of a Near-Unit Root," Econometrics, MDPI, vol. 6(1), pages 1-28, March.
  20. Long Qu & Tobias Guennel & Scott L. Marshall, 2013. "Linear Score Tests for Variance Components in Linear Mixed Models and Applications to Genetic Association Studies," Biometrics, The International Biometric Society, vol. 69(4), pages 883-892, December.
  21. Mencia, Javier F. & Sentana, Enrique, 2004. "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library.
  22. Grant Hillier & Raymond Kan & Xiaolu Wang, 2008. "Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors," CeMMAP working papers CWP14/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  23. Marcus J. Chambers, 2015. "The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(4), pages 562-586, July.
  24. Ernst, Philip A. & Huang, Dongzhou & Viens, Frederi G., 2023. "Yule’s “nonsense correlation” for Gaussian random walks," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 423-455.
  25. Vasnev, Andrey L., 2010. "Sensitivity of GLS estimators in random effects models," Journal of Multivariate Analysis, Elsevier, vol. 101(5), pages 1252-1262, May.
  26. Ibrahim Ahamada & Mohamed Boutahar, 2010. "The power of some standard tests of stationarity against changes in the unconditional variance," Post-Print halshs-00476024, HAL.
  27. Coqueret, Guillaume & Deguest, Romain, 2024. "Unexpected opportunities in misspecified predictive regressions," European Journal of Operational Research, Elsevier, vol. 318(2), pages 686-700.
  28. Hillier, Grant & Kan, Raymond & Wang, Xiaoulu, 2009. "Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors," Discussion Paper Series In Economics And Econometrics 918, Economics Division, School of Social Sciences, University of Southampton.
  29. Bao, Yong & Kan, Raymond, 2013. "On the moments of ratios of quadratic forms in normal random variables," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 229-245.
  30. Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
  31. van Garderen, Kees Jan & Peter Boswijk, H., 2014. "Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors," Economics Letters, Elsevier, vol. 122(2), pages 224-228.
  32. Qu Long, 2014. "Combining dependent F-tests for robust association of quantitative traits under genetic model uncertainty," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 13(2), pages 123-139, April.
  33. Kan, Raymond & Wang, Xiaolu, 2010. "On the distribution of the sample autocorrelation coefficients," Journal of Econometrics, Elsevier, vol. 154(2), pages 101-121, February.
  34. van der Genugten, B.B., 1991. "Density of the f-statistic in the linear model with arbitrarily normal distributed errors," Research Memorandum FEW 500, Tilburg University, School of Economics and Management.
  35. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
  36. Hillier, Grant & Kan, Raymond & Wang, Xiaoulu, 2009. "Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors," Discussion Paper Series In Economics And Econometrics 0918, Economics Division, School of Social Sciences, University of Southampton.
  37. Guillaume Coqueret & Romain Deguest, 2024. "Unexpected opportunities in misspecified predictive regressions," Post-Print hal-04595355, HAL.
  38. Chen, Ye & Yu, Jun, 2015. "Optimal jackknife for unit root models," Statistics & Probability Letters, Elsevier, vol. 99(C), pages 135-142.
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