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The Exact Distribution of the Wald Statistic

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Phillips, P C B

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Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 54 (1986)
Issue (Month): 4 (July)
Pages: 881-95
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Handle: RePEc:ecm:emetrp:v:54:y:1986:i:4:p:881-95

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  1. Phillips, P.C.B., 1984. "The exact distribution of the Stein-rule estimator," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 123-131. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Grant Hillier & Raymond Kan & Xiaolu Wang, 2008. "Computationally efficient recursions for top-order invariant polynomials with applications," CeMMAP working papers CWP07/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    Other versions:
  2. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  3. 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, Yale University. [Downloadable!]
    Other versions:
  4. Peter C.B. Phillips, 1985. "Fractional Matrix Calculus and the Distribution of Multivariate Tests," Cowles Foundation Discussion Papers 767, Cowles Foundation, Yale University. [Downloadable!]
  5. Giovanni Forchini, . "The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables," Discussion Papers 01/12, Department of Economics, University of York. [Downloadable!]
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