A Simple Lagrange Multiplier F-Test for Multivariate Regression Models

Timothy Beatty, Jeffrey LaFrance () and Muzhe Yang

No 25074, CUDARE Working Papers from University of California, Berkeley, Department of Agricultural and Resource Economics

Abstract: 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

Keywords: Research; Methods/; Statistical; Methods (search for similar items in EconPapers)
Pages: 21
Date: 2005
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Working Paper: A Simple Lagrange Multiplier F-Test for Multivariate Regression Models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ucbecw:25074

DOI: 10.22004/ag.econ.25074

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