The Exact Distribution of the Wald Statistic

This paper derives the exact distribution of the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. This generalizes all previously known results including those for the standard F statistic in linear regression, for Hotelling's T^{2} test and for Hotelling's generalized T_{0}^{2} test. Conventional classical assumptions of normally distributed errors and nonrandom exogenous variables are employed.

MoreLess

Year of publication:	1984-09
Authors:	Phillips, Peter C.B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Matrix fractional calculus \| Wald statistic \| distribution theory

More details

Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	CFP 654. Published in Econometrica (July 1986), 54(4): 881-895 The price is None Number 722 19 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004990745