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The numerical evaluation of the distribution function of a bilinear from to a quadratic from with econometric examples

Author: J. N. Lye a
Affiliation:   a Department of Economics, University of Melbourne, Parkville
DOI: 10.1080/07474939108800205
Publication Frequency: 6 issues per year
Published in: journal Econometric Reviews, Volume 10, Issue 2 1991 , pages 217 - 234
Formats available: PDF (English)
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Abstract

This paper considers a general and computationally convenient method of evaluating the distribution function of statistics that are the ratio of a bilinear form to a quadratic form. Numerous Economemc applications of the method are given.
Keywords: A Ratio of a Bilinear form to a Quadratic Form; Ratios of Quadratic Forms; Imhof; Davies; Limited-Information Simultaneous Equation Models; Dynamic Models; Misspecificarion Analysis; Nonnormality
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