Advanced Search
MyIDEAS: Login

ON THE PROPERTIES OF THE t- AND F-RATIOS IN LINEAR REGRESSIONS WITH NONNORMAL ERRORS

Contents:

Author Info

  • Qin, Huaizhen
  • Wan, Alan T.K.

Abstract

In this paper we derive the necessary and sufficient conditions for the t-ratio to be Student s t distributed. In particular, it is demonstrated for a special case that under conditions of nonnormality characterized by elliptical symmetry, the t-ratio remains Student s t distributed provided that the random vector forming the t-ratio has a diagonal covariance structure. Our results also show that the findings of Magnus (2002, in A. Ullah, A.T.K. Wan, A. Chaturvedi (eds.), Handbook of Applied Econometrics and Statistical Inference, 277 285) on the sensitivity of the t-ratio remain invariant in the elliptically symmetric distribution setting. Extension to the linear model is considered. Exact results giving finite sample justification for the t-statistic under nonnormal error terms are derived. Furthermore, the distribution of the F-ratio assuming elliptical errors is examined. Our results reject the argument by Zaman (1996, Statistical Foundations for Econometric Techniques) that nonnormality of disturbances has in general no effect on the F-statistic.The authors thank Anurag Banerjee, Judith Clarke, Kazuhiro Ohtani, and Guohua Zou for their helpful suggestions and advice during the course of this work. In particular, we are very grateful to Judith Clarke for bringing to our attention the unpublished work of D.H. Thomas and to Guohua Zou for his careful reading of an earlier version of this paper. Thanks also go to the co-editor Benedikt P tscher and two anonymous referees for their valuable comments. The second author gratefully acknowledges financial support from the Hong Kong Research Grant Council.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://journals.cambridge.org/abstract_S0266466604204042
File Function: link to article abstract page
Download Restriction: no

Bibliographic Info

Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 20 (2004)
Issue (Month): 04 (August)
Pages: 690-700

as in new window
Handle: RePEc:cup:etheor:v:20:y:2004:i:04:p:690-700_20

Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_ECTProvider-Email:journals@cambridge.org

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:20:y:2004:i:04:p:690-700_20. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.