COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 561

"The Characteristic Function of the F Distribution"

Peter C.B. Phillips

September 1980

Formulae that are given in the literature for the characteristic function of the F distribution are incorrect and imply that the distribution has finite moments of all orders. Correct formulae are derived and the asymptotic behavior of the characteristic function in the neighborhood of the origin is characterized.

See CFP 560