Improved Test Statistics for Multivariate Regression

Francisco Cribari-Neto and Spyros Zarkos
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Francisco Cribari-Neto: Southern Illinois University at Carbondale
Spyros Zarkos: Southern Illinois University at Carbondale

Econometrics from University Library of Munich, Germany

Abstract: Edgeworth expansions to the null distributions of three classical test statistics in the multivariate regression model were derived by Rothenberg (1977) and Phillips (1984) with the purpose of obtaining size-corrected critical values for such tests. We combine their results with the results of Cordeiro and Ferrari (1991) to obtain corrections to be applied to the test statistics directly. Simulation results are also given.

JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Date: 1995-06-09
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