A Simple Lagrange Multiplier F-Test for Multivariate Regression Models

This paper proposes a straightforward, easy to implement approximate F-test which is useful for testing restrictions in multivariate regression models. We derive the asymptotics for our test statistic and investigate its finite sample properties through a series of Monte Carlo experiments. Both theory suggests and simulations confirm that our approach will result in strictly better inference than the leading alternative

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Year of publication:	2005-02-01
Authors:	Beatty, Timothy K.M. ; LaFrance, Jeffrey T. ; Yang, Muzhe
Institutions:	Department of Agricultural and Resource Economics, University of California-Berkeley
Subject:	econometric models \| monte carlo analysis \| multivariate analysis \| regression models

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Extent:	application/pdf
Series:	Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Department of Agricultural and Resource Economics, UCB
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010843150