Moments of the ratio of quadratic forms in non-normal variables with econometric examples*
نویسندگان
چکیده
In analyzing the distributional properties of estimators and other statistics in econometric models, the small disturbance asymptotic theory has assumed a prominent place for several reasons. For instance, the exact finite-sample distribution theory generally provides intricate expressions from which it is hard to draw any neat inference related to the efficiency properties of estimators, confidence ellipsoids, and tests of hypotheses. In fact, for the non-normal cases, it is even quite difficult to obtain results. On the other hand, the corresponding
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