Expectation of Quadratic Forms in Normal and Nonnormal Variables with Econometric Applications

Yong Bao () and Aman Ullah

No 200907, Working Papers from University of California at Riverside, Department of Economics

Abstract: We derive some new results on the expectation of quadratic forms in normal and nonnormal variables. Using a nonstochastic operator, we show that the expectation of the product of an arbitrary number of quadratic forms in noncentral normal variables follows a recurrence formula. This formula includes the existing result for central normal variables as a special case. For nonnormal variables, while the existing results are available only for quadratic forms of limited order (up to 3), we derive analytical results to a higher order 4. We use the nonnormal results to study the effects of nonnormality on the finite sample mean squared error of the OLS estimator in an AR(1) model and the QMLE in an MA(1) model.

Keywords: Expectation; Quadratic form; Nonnormality (search for similar items in EconPapers)
JEL-codes: C10 C19 (search for similar items in EconPapers)
Date: 2009-06, Revised 2009-06

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Persistent link: http://EconPapers.repec.org/RePEc:ucr:wpaper:200907

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