The Exact Distribution of the Wald Statistic

Peter Phillips

No 722, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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.

Keywords: Matrix fractional calculus; Wald statistic; distribution theory (search for similar items in EconPapers)
Pages: 19 pages
Date: 1984-09
Note: CFP 654.
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Published in Econometrica (July 1986), 54(4): 881-895

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Journal Article: The Exact Distribution of the Wald Statistic (1986)
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Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:722

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