The Exact Distribution of the Wald Statistic: The Non-Central Case

This paper extends earlier results, which were reported in [7], to include non null distributions. As in [7], attention is concentrated on the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. The results of the present paper encompass the null distributions derived in [7] and generalize all previously known results for such statistics as the standard regression F test and Hotelling's T^{2} test.

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Year of publication:	1984-11
Authors:	Ouliaris, Sam ; Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Wald statistic \| noncentral quadratic forms \| distribution theory \| matrix fractional calculus

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The price is None Number 731 13 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005249227