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Distribution of an arbitrary linear transformation of internally Studentized residuals of multivariate regression with elliptical errors

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  • Pynnönen, Seppo

Abstract

This paper derives the matrix-variate distribution of an arbitrary non-singular linear transformation of Studentized multivariate observations. The joint distributions of the major commonly utilized Studentized versions of (multivariate) regression residuals are obtained as special cases of the matrix-variate distribution introduced in the paper. As applications, the paper discusses testing for outliers, omitted variables, and general linear hypothesis in terms of Studentized linear combinations of residuals.

Suggested Citation

  • Pynnönen, Seppo, 2012. "Distribution of an arbitrary linear transformation of internally Studentized residuals of multivariate regression with elliptical errors," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 40-52.
  • Handle: RePEc:eee:jmvana:v:107:y:2012:i:c:p:40-52
    DOI: 10.1016/j.jmva.2012.01.014
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    References listed on IDEAS

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    1. Kenneth Hogholm & Johan Knif & Seppo Pynnonen, 2011. "Common and local asymmetry and day-of-the-week effects among EU equity markets," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 219-227.
    2. French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
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