Moments of the function of non-normal random vector with applications to econometric estimators and test statistics1
给出了非正态随机向量函数矩的一般结果，可用于推导动态模型最小二乘估计、单位根检验等计量经济估计量和检验统计量的矩。
In this paper we have provided a general result on the moments of a function of nonnormal random vector. The results for the normal case follow as a special case of this result. It is also indicated that the moments of a large class of econometric estimators and test statistics can be obtained by using our general result. This includes least squares estimator in the dynamic model, unit root tests, and the two step semiparametric estimators, among others.