Simulation-Based Finite and Large Sample Tests in Multivariate Regressions.

In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients of MLR systems.

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Year of publication:	2000
Authors:	Dufour, J.M. ; Khalaf, L.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	LINEAR MODEL \| REGRESSION ANALYSIS \| TESTS

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C20 - Econometric Methods: Single Equation Models. General ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C42 - Survey Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005353092