Distribution of an arbitrary linear transformation of internally Studentized residuals of multivariate regression with elliptical errors
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.
Volume (Year): 107 (2012)
Issue (Month): C ()
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- French, Kenneth R., 1980. "Stock returns and the weekend effect," Journal of Financial Economics, Elsevier, vol. 8(1), pages 55-69, March.
- 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.
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