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受限最小二乘估计量对协方差误设的敏感性AI 解读

Traditional econometrics has long stressed the serious consequences of non-spherical disturbances for the estimation and testing procedures under the spherical disturbance setting, that is, the procedures become invalid and can give rise to misleading results. In practice, it is not unusual, however, to find that the parameter estimates do not change much after fitting the more general structure. This suggests that the usual procedures may well be robust to covariance…

非正态误差线性回归中 t 比率与 F 比率的性质AI 解读

In this paper we derive the necessary and sufficient conditions for the t-ratio to be Student's t distributed. In particular, it is demonstrated for a special case that under conditions of nonnormality characterized by elliptical symmetry, the t-ratio remains Student's t distributed provided that the random vector forming the t-ratio has a diagonal covariance structure. Our results also show that the findings of Magnus (2002, in A. Ullah, A.T.K. Wan, & A. Chaturvedi (eds.),…