Moments of the function of non-normal random vector with applications to econometric estimators and test statistics1

DOI10.1080/07474939508800331MaRDI QIDQ4860429zbMATH OpenOpenAlexFDO

Authors Aman Ullah, Nilanjana Roy, Virendra K. Srivastava

Publication date 6 May 1996

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939508800331

zbMATH Keywords

dynamic modeleconometric estimatorsfunctions of non-normal random vectorsleast squares estimatorsmomentstest statisticstwo-step semiparametric estimatorsunit root tests

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Approximations to statistical distributions (nonasymptotic) (62E17) Applications of statistics to economics (62P20)

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Cites work

• A Numerical Comparison of Exact, Large-Sample and Small-Disturbance Appoximations of Properties of k-Class Estimators
• Adaptive estimates for autoregressive processes
• Adaptive estimation of regression models via moment restrictions
• Adaptive maximum likelihood estimators of a location parameter
• Comparison of k-Class Estimators When the Disturbances Are Small
• Efficient Estimation of Simultaneous Equation Systems
• scientific article; zbMATH DE number 54139 (Why is no real title available?)
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• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Moments of OLS estimators in an autoregressive moving average model with explanatory variables
• On adaptive estimation
• On moments of ratios of quadratic forms in normal variables

Cited in

(6)

• Bias-adjusted estimation in the ARX(1) model
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• Finite-sample moments of the coefficient of variation
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