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The Exact Distribution Of The Wald Statistic: The Non-Central Case, Peter C.B. Phillips, Sam Ouliaris
The Exact Distribution Of The Wald Statistic: The Non-Central Case, Peter C.B. Phillips, Sam Ouliaris
Cowles Foundation Discussion Papers
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 test and Hotelling’s T 2 test.
The Exact Distribution Of The Wald Statistic, Peter C.B. Phillips
The Exact Distribution Of The Wald Statistic, Peter C.B. Phillips
Cowles Foundation Discussion Papers
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.