Fractional Matrix Calculus and the Distribution of Multivariate Tests

Peter Phillips

No 767, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Fractional matrix operator methods are introduced as a new tool of distribution theory for use in multivariate analysis and econometrics. Earlier work by the author on this operational calculus is reviewed and to illustrate the use of these methods we give an exact distribution theory for a general class of tests in the multivariate linear model. This distribution theory unifies and generalizes 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^{-2} test. We also provide a simple and novel derivation of conventional asymptotic theory as a specialization of exact theory. This approach is extended to generate general formulae for higher order asymptotic expansions. Thus, the results of the paper provide a meaningful unification of conventional asymptotics, higher order asymptotic expansions and exact finite sample distribution theory in this context.

Keywords: Fractional matrix calculus; multivariate tests; exact distribution theory; asymptotic expansions (search for similar items in EconPapers)
Pages: 23 pages
Date: 1985-09
Note: CFP 664.
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in I.B. MacNeill and G.J. Umphrey, eds., Time Series and Econometric Modelling, Reidel, 1987, pp. 219-234

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