Approximate Distribution of Parameters in a Distributed Lag Model
分布滞后模型中参数的近似分布
In the construction of econometric models, the need frequently arises to test the significance of coefficients whose distribution is a ratio of two normal random variables for which no statistical tables exist. In this article the distribution of such a ratio, emanating from a partial adjustment model, is empirically approximated by utilizing Monte Carlo experiments with various sample sizes. The results indicate that the standardized distribution of the ratio is positively…