The Exact Distribution of the Wald Statistic: The Non-Central Case

Sam Ouliaris and Peter Phillips

No 731, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: 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 F test and Hotelling's T^{2} test.

Keywords: Wald statistic; noncentral quadratic forms; distribution theory; matrix fractional calculus (search for similar items in EconPapers)
Pages: 13 pages
Date: 1984-11
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