The Exact Distribution of the White t-ratio

Bruce E. Hansen
"The Exact Distribution of the White t-ratio"

This file contains Matlab code to replicate the numerical work in the paper, and to calculate the exact distribution.

Matlab code

Link to Abstract and PDF File of Paper

Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111. Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author, and do not necessarily reflect the views of the NSF.

Bruce E. Hansen "The Exact Distribution of the White t-ratio"

Bruce E. Hansen
"The Exact Distribution of the White t-ratio"