The Exact Distribution of the Wald Statistic
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References listed on IDEAS
- Phillips, P.C.B., 1984.
"The exact distribution of the Stein-rule estimator,"
Journal of Econometrics,
Elsevier, vol. 25(1-2), pages 123-131.
- Peter C.B. Phillips, 1983. "The Exact Distribution of the Stein-Rule Estimator," Cowles Foundation Discussion Papers 682, Cowles Foundation for Research in Economics, Yale University.
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- Attfield, C. L. F., 1997. "Estimating a cointegrating demand system," European Economic Review, Elsevier, vol. 41(1), pages 61-73, January.
- Phillips, Peter C B, 1994.
"Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models,"
Econometric Society, vol. 62(1), pages 73-93, January.
- 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 for Research in Economics, Yale University.
- Peter C.B. Phillips, 1985. "Fractional Matrix Calculus and the Distribution of Multivariate Tests," Cowles Foundation Discussion Papers 767, Cowles Foundation for Research in Economics, Yale University.
- 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.).
- Giovanni Forchini, "undated". "The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables," Discussion Papers 01/12, Department of Economics, University of York.
- 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.
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KeywordsMatrix fractional calculus; Wald statistic; distribution theory;
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