Exact testing in multivariate regression

Kenneth Stewart

Econometric Reviews, 1997, vol. 16, issue 3, 321-352

Abstract: An F statistic due to Rao (1951,1973) tests uniform mixed linear restrictions in the multivariateregression model. In combination with a generalization of the Bera-Evans-Savin exact functional relationship between the W, LR, and LM statistics, Rao's F serves to unify a number of exact test procedures commonly applied in disparate empirical literatures. Examples in demand analysis and asset pricing are provided. The availability of exact tests of restrictions in certain nonlinear models when the model is linear under the null, originally explored by Milliken-Graybill (1970), is extended to multivariate regression. Generalized RESET, J-, and Hausman-Wu tests are resented. As an extension of Dufour (1989), bounds tests exist for nonlinear and inequality restrictions. Applications include conservative bound tests for symmetry or negativity of the substitution matrix in demand systems.

Keywords: exact test; multivariate regression (search for similar items in EconPapers)
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474939708800390 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:16:y:1997:i:3:p:321-352

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474939708800390

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().