A Simple Lagrange Multiplier F-Test for Multivariate Regression Models

Timothy Beatty, Jeffrey LaFrance () and Muzhe Yang

Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series from Department of Agricultural & Resource Economics, UC Berkeley

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: econometric models; monte carlo analysis; multivariate analysis; regression models (search for similar items in EconPapers)
Date: 2005-02-01
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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:cdl:agrebk:qt4pf757w4

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