This paper reviews and extends nonnull distribution results for ratios of normal quadratic forms found in R2S, F-tests, and likelihood ratio criteria. The extensions cover misspecified regression models and models with normal scale mixture errors or stochastic regressors. Practical examples illustrate how multicollinearity, omitted variables and nonnormal errors affect power. A final section provides computational formulae.
- Faculty
- Publications
- Postdoctoral Scholars
-
Research Labs & Initiatives
- Cities, Housing & Society Lab
- Corporate Governance Research Initiative
- Corporations and Society Initiative
- Golub Capital Social Impact Lab
- Initiative for Financial Decision-Making
- Policy and Innovation Initiative
- Rapid Decarbonization Initiative
- Value Chain Innovation Initiative
- Venture Capital Initiative
- Behavioral Lab
- Data, Analytics & Research Computing