Improved Test Statistics for Multivariate Regression

Edgeworth expansions to the null distributions of three classical test statistics in the multivariate regression model were derived by Rothenberg (1977) and Phillips (1984) with the purpose of obtaining size-corrected critical values for such tests. We combine their results with the results of Cordeiro and Ferrari (1991) to obtain corrections to be applied to the test statistics directly. Simulation results are also given.

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Year of publication:	1995-06-09
Authors:	Cribari-Neto, Francisco ; Zarkos, Spyros
Institutions:	EconWPA

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Extent:	application/pdf application/postscript
Series:	Econometrics.
Type of publication:	Book / Working Paper
Notes:	Written in TeX for an HP 4M+ printer; written to a dvi file (39,260 bytes) and printed to a PostScript file (109,819 bytes), each of which was FTP'ed. (No figures.)
Classification:	C1 - Econometric and Statistical Methods: General ; C2 - Econometric Methods: Single Equation Models ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models ; C4 - Econometric and Statistical Methods: Special Topics ; C5 - Econometric Modeling ; C8 - Data Collection and Data Estimation Methodology; Computer Programs
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005119211