Distribution theory for some tests of independence of seemingly unrelated regressions

Series expansions and second-order asymptotic expansions are obtained for the characteristic functions of three statistics useful for testing the independence of two multivariate regression equations with different design matrices.

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Year of publication:	1989
Authors:	Davis, A. W.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 31.1989, 1, p. 69-82
Publisher:	Elsevier
Keywords:	asymptotic distributions multivariate regression equations tests of independence zonal and invariant polynomials

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160376