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Computing moments of ratios of quadratic forms in normal variables

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  • Paolella, Marc S.

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  • 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.
    • Handle: RePEc:eee:csdana:v:42:y:2003:i:3:p:313-331
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    1. Dufour, Jean-Marie & Roy, Roch, 1985. "Some robust exact results on sample autocorrelations and tests of randomness," Journal of Econometrics, Elsevier, vol. 29(3), pages 257-273, September.
    2. Oliver D. Anderson, 1993. "Exact General‐Lag Serial Correlation Moments And Approximate Low‐Lag Partial Correlation Moments For Gaussian White Noise," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(6), pages 551-574, November.
    3. Georgi Boshnakov, 1996. "Bartlett's formulae—Closed forms and recurrent equations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(1), pages 49-59, March.
    4. Kramer, Walter & Sonnberger, Harald, 1986. "Computational pitfalls of the Hausman test," Journal of Economic Dynamics and Control, Elsevier, vol. 10(1-2), pages 163-165, June.
    5. Jan R. Magnus, 1986. "The Exact Moments of a Ratio of Quadratic Forms in Normal Variables," Annals of Economics and Statistics, GENES, issue 4, pages 95-109.
    6. Mehta, Jatinder S. & Swamy, Paravastu A. V. B., 1978. "The existence of moments of some simple Bayes estimators of coefficients in a simultaneous equation model," Journal of Econometrics, Elsevier, vol. 7(1), pages 1-13, February.
    7. Ghazal, G. A., 1994. "Moments of the ratio of two dependent quadratic forms," Statistics & Probability Letters, Elsevier, vol. 20(4), pages 313-319, July.
    8. R. W. Farebrother, 1990. "The Distribution of a Quadratic Form in Normal Variables," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 39(2), pages 294-309, June.
    9. Roberts, Leigh A., 1995. "On the Existence of Moments of Ratios of Quadratic Forms," Econometric Theory, Cambridge University Press, vol. 11(4), pages 750-774, August.
    10. repec:adr:anecst:y:1986:i:4:p:05 is not listed on IDEAS
    11. Sawa, Takamitsu, 1972. "Finite-Sample Properties of the k-Class Estimators," Econometrica, Econometric Society, vol. 40(4), pages 653-680, July.
    12. Ullah, Aman & Srivastava, Virendra K., 1994. "Moments of the ratio of quadratic forms in non-normal variables with econometric examples," Journal of Econometrics, Elsevier, vol. 62(2), pages 129-141, June.
    13. Ali, Mukhtar M, 1984. "Distributions of the Sample Autocorrelations When Observations Are from a Stationary Autoregressive-Moving-Average Process," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 271-278, July.
    14. Serge Provost & Edmund Rudiuk, 1996. "The exact distribution of indefinite quadratic forms in noncentral normal vectors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(2), pages 381-394, June.
    15. Sawa, Takamitsu, 1978. "The exact moments of the least squares estimator for the autoregressive model," Journal of Econometrics, Elsevier, vol. 8(2), pages 159-172, October.
    16. Kanto, Antti J., 1988. "Covariances between estimated autocorrelations of an ARMA process," Economics Letters, Elsevier, vol. 26(3), pages 253-258.
    17. De Gooijer, Jan G., 1980. "Exact moments of the sample autocorrelations from series generated by general arima processes of order (p, d, q), d=0 or 1," Journal of Econometrics, Elsevier, vol. 14(3), pages 365-379, December.
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    Cited by:

    1. Rukhin, Andrew L., 2009. "Identities for negative moments of quadratic forms in normal variables," Statistics & Probability Letters, Elsevier, vol. 79(8), pages 1004-1007, April.
    2. Ibrahim Ahamada & Mohamed Boutahar, 2010. "The power of some standard tests of stationarity against changes in the unconditional variance," Post-Print halshs-00476024, HAL.
    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. Kourtis, Apostolos, 2016. "The Sharpe ratio of estimated efficient portfolios," Finance Research Letters, Elsevier, vol. 17(C), pages 72-78.
    5. Broda, Simon & Carstensen, Kai & Paolella, Marc S., 2007. "Bias-adjusted estimation in the ARX(1) model," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3355-3367, April.
    6. Broda, S. & Paolella, M.S., 2009. "Evaluating the density of ratios of noncentral quadratic forms in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1264-1270, February.

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