Simulation-Based Finite and Large Sample Tests in Multivariate Regressions

Jean-Marie Dufour () and Lynda Khalaf

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: In the context of multivariate linear regression (MLR) models, it is well known that commonly employed asymptotic test criteria are seriously biased towards overrejection. In this paper, we propose a general method for constructing exact tests of possibly nonlinear hypotheses on the coefficients of MLR systems.

Keywords: LINEAR MODEL; REGRESSION ANALYSIS; TESTS (search for similar items in EconPapers)
JEL-codes: C15 C20 C42 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2000
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Simulation based finite and large sample tests in multivariate regressions (2002)
Working Paper: Simulation Based Finite and Large Sample Tests in Multivariate Regressions (2000)
Working Paper: Simulation-Based Finite and Large Sample Tests in Multivariate Regressions (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:2000-10

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