A note on Sargan densities

Journal of Econometrics

Volumn 71, Issue 1-2, 1996, Pages 285-290

  Hadri, Kaddour ^a  

^a UNIVERSITY OF EXETER   (United Kingdom)

Author keywords

C.d.f. in a closed form; Disequilibrium models; Nonnormal maximum likelihood estimation; Sargan densities

Indexed keywords

EID: 0040055932     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-4076(94)01705-0     Document Type: Article

References (6)

1. Goldfeld, S.M. and R.E. Quandt, 1981, Econometric modelling with non-normal disturbances, Journal of Econometrics 17, 141-155.
2. Hadri, K., 1993, A note on Sargan densities and econometric modelling, Discussion paper no. 93/01 (Department of Economics, Exeter University, Exeter).
3. Kafaei, M. and P. Schmidt, 1985, On the adequacy of the 'Sargan distribution' as an approximation to the normal, Communications in Statistics: Theory and Methods 14, 509-526.
4. Missiakoulis, S., 1983, Sargan densities, Which one?, Journal of Econometrics 23, 223-233.
5. Quandt, R.E., 1988, The econometrics of disequilibrium (Basil Blackwell, New York, NY).
6. Tse, Y.K., 1987, A note on Sargan densities, Journal of Econometrics 34, 349-354.