Abstract
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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Social Sciences (miscellaneous)
Cited by
13 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献