On the Existence of Moments of Ratios of Quadratic Forms

Leigh Roberts ()

Econometric Theory, 1995, vol. 11, issue 04, pages 750-774

Abstract: We obtain simple and generally applicable conditions for the existence of mixed moments E([X /[X AX/X n symmetric matrices and X is a random n-vector. Our principal theorem is easily stated when X has an elliptically symmetric distribution, which class includes the multivariate normal and t distributions, whether degenerate or not. The result applies to the ratio of multivariate quadratic polynomials and can be expected to remain valid in most situations in which X is subject to linear constraints.

Date: 1995

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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:11:y:1995:i:04:p:750-774_00

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