The effect of nonnormality

Econometric Theory

Volumn 13, Issue 1, 1997, Pages 52-78

  Lieberman, Offer ^a  

^a TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031486734     PISSN: 02664666     EISSN: None     Source Type: Journal    
DOI: 10.1017/s0266466600005648     Document Type: Article

References (8)

1. Ali, M.M. & C. Giacotto (1984) A study of several new and existing tests for heteroscedasticity in general linear model. Journal of Econometrics 26, 355-374.
2. Ali, M.M. & S.C. Sharma (1993) Robustness to nonnormality of the Durbin-Watson test for autocorrelation. Journal of Econometrics 57, 117-136.
3. Andrews, D.W.K. (1993) Exactly unbiased estimation of first order autoregressive/unit root models. Econometrica 61, 139-165.
4. Arellano, M. & J.D. Sargan (1990) Imhof approximations to econometric estimators. Review of Economic Studies 57, 627-646.
5. Barndorff-Nielsen, O.E. & D.R. Cox (1979) Edgeworth and saddlepoint approximations with statistical applications (with discussion). Journal of the Royal Statistical Society B 41, 279-312.
6. Barndorff-Nielsen, O.E. & D.R. Cox (1989) Asymptotic Techniques for the Use in Statistics. New York: Chapman and Hall.
7. Barone-Adesi, G. & P.P. Talwar (1983) Market models and heteroscedasticity of residual security returns. Journal of Business and Economic Statistics 1, 163-168.
8. Box, G.E.P. & G.S. Watson (1962) Robustness to nonnormality of regression tests. Biometrika 49, 93-106.