On a Distribution Arising in the Context of Comparative Model Performance Evaluation Problems

The paper deals with a distribution that arises as the distribution of a sample statistic used to compare the predictive ability of two competing linear models. It is defined as the distribution of the ratio of two correlated gamma variables and its probabilities are tabulated in order that they become readily available for practical use

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Year of publication:	1998
Authors:	Panaretos, John ; Psarakis, Stelios ; Xekalaki, Evdokia
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Model selection \| Bivariate gamma distribution \| F distribution

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005836553