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Zbl 0601.62025
Phillips, P.C.B.
The exact distribution of the Wald statistic. (English)
[J] Econometrica 54, 881-895 (1986). ISSN 0012-9682; ISSN 1468-0262/e

The author derives the exact finite sample 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 $T\sp 2$ test, and for Hotelling's generalized $T\sp 2\sb 0$ test. The analytical methods employed in the present paper rely on the author's fractional matrix calculus [ibid. 53, 745-756 (1985; Zbl 0574.62017)].
[A.N.Philippou]

MSC 2000:: *62E15 Exact distribution theory in statistics
62E20 Asymptotic distribution theory in statistics
62H15 Multivariate hypothesis testing
62J05 Linear regression

Keywords: asymptotics; Hotelling's T square test; Hotelling's generalized T sub 0 square test; exact finite sample distribution; Wald statistic for testing general linear restrictions; multivariate linear model; standard F statistic; fractional matrix calculus

Citations: Zbl 0574.62017

Cited in: Zbl 0949.62047 Zbl 0790.62054

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