Footnote:
In: Broda, Simon A. and Kan, Raymond (2016). On distributions of ratios, Biometrika, Volume 103, Issue 1, pp. 205-218. https://doi.org/10.1093/biomet/asv052
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 7, 2014 erstellt
Description:
A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random variables. If in addition, the joint characteristic function of numerator and denominator is known, then standard Fourier inversion techniques can be used to reconstruct the distribution function from it. Most research in this field has been based on this correspondence, but which breaks down when both numerator and denominator are supported on the entire real line. The present manuscript derives inversion formulae and saddlepoint approximations that remain valid in this case, and reduce to known results when the denominator is almost surely positive. Applications include the IV estimator of a structural parameter in a just identified equation