A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

The top-order zonal polynomials Ck(A),and top-order invariant polynomials Ck1,...,kr(A1,...,Ar)in which each of the partitions of ki,i = 1,..., r,has only one part, occur frequently in multivariate distribution theory, and econometrics - see, for example Phillips (1980, 1984, 1985, 1986),...

<p>Using generating functions, the top-order zonal polynomials that occur in much distribution theory under normality can be recursively related to other symmetric functions (power-sum and elementary symmetric functions, Ruben, Hillier, Kan, and Wang). Typically, in a recursion of this type the...</p>

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

In this paper, we present both integral and infinite series expressions of mixed moments of two quadratic forms in normal random variables. We also present efficient numerical methods for computing the mixed moments under each approach

The top-order zonal polynomials $C_{k}(A)$, and top-order invariant polynomials $C_{k_1,\ldots, k_r} (A_1,\ldots, A_r)$ in which each of the partitions of $k_i$, $i=1, \ldots, r$, has only one part, occur frequently in multivariate distribution theory, and econometrics - see, for example...

In this paper, we conduct a comprehensive study of tests for mean-variance spanning. Under the regression framework of Huberman and Kandel (1987), we provide geometric interpretations not only for the popular likelihood ratio test, but also for two new spanning tests based on the Wald and...

We show that in misspecified models with useless factors (for example, factors that are independent of the returns on the test assets), the standard inference procedures tend to erroneously conclude, with high probability, that these irrelevant factors are priced and the restrictions of the...