Recurrence formula for expectations of products of quadratic forms
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References listed on IDEAS
- Magnus, J.R., 1978. "The moments of products of quadratic forms in normal variables," Other publications TiSEM 17c77a44-1789-4cf4-a382-a, Tilburg University, School of Economics and Management.
- Mikhail, William M. & Ghazal, G. A., 1991. "On a pooled estimator and its finite-sample moments," Journal of Econometrics, Elsevier, vol. 48(1-2), pages 195-214.
- Ghazal, G. A., 1994. "Moments of the ratio of two dependent quadratic forms," Statistics & Probability Letters, Elsevier, vol. 20(4), pages 313-319, July.
- Magnus, J.R. & Neudecker, H., 1979. "The commutation matrix : Some properties and applications," Other publications TiSEM d0b1e779-7795-4676-ac98-1, Tilburg University, School of Economics and Management.
- Kadane, Joseph B, 1971. "Comparison of k-Class Estimators when the Disturbances are Small," Econometrica, Econometric Society, vol. 39(5), pages 723-737, September.
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- Peter M. Robinson & Francesca Rossi, 2014.
"Improved Lagrange multiplier tests in spatial autoregressions,"
Royal Economic Society, vol. 17(1), pages 139-164, February.
- Peter M Robinson & Francesca Rossi, 2013. "Improved Lagrange Multiplier Tests in Spatial Autoregressions," STICERD - Econometrics Paper Series 566, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Robinson, Peter M. & Rossi, Francesca, 2014. "Improved Lagrange multiplier tests in spatial autoregressions," LSE Research Online Documents on Economics 56049, London School of Economics and Political Science, LSE Library.
- Ghazal, G. A., 2000. "Recurrence formula for expectations of products of bilinear forms and expectations of bilinear forms and random matrices," Statistics & Probability Letters, Elsevier, vol. 48(1), pages 1-9, May.
- Yong Bao & Aman Ullah, 2009. "Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications," Working Papers 200907, University of California at Riverside, Department of Economics, revised Jun 2009.
- repec:cep:stiecm:/2013/566 is not listed on IDEAS
- Hillier, Grant & Kan, Raymond & Wang, Xiaolu, 2009.
"Computationally Efficient Recursions For Top-Order Invariant Polynomials With Applications,"
Cambridge University Press, vol. 25(01), pages 211-242, February.
- 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.
- Patrick Marsh, "undated". "Some Geometry for the Maximal Invariant in Linear Regression," Discussion Papers 04/07, Department of Economics, University of York.
More about this item
KeywordsCovariance matrices Expectations Product of quadratic forms Random discriminants Vandermonde determinants;
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