A Simple Lagrange Multiplier F-Test for Multivariate Regression Models

This paper proposes a straightforward, easy to implement approximate F-test which is useful for testing restrictions in multivariate regression models. We derive the asymptotics for our test statistic and investigate its finite sample properties through a series of Monte Carlo experiments. Both theory suggests and simulations confirm that our approach will result in strictly better inference than the leading alternative


Issue Date:
2005
Publication Type:
Working or Discussion Paper
PURL Identifier:
http://purl.umn.edu/25074
Total Pages:
21
Series Statement:
CUDARE Working Paper 996




 Record created 2017-04-01, last modified 2017-08-24

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