The Exact Distribution of the Wald Statistic

DOI10.2307/1912841zbMath0601.62025OpenAlexW2109627362MaRDI QIDQ3736695

Peter C. B. Phillips

Publication date: 1986

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d07/d0722.pdf

zbMATH Keywords

asymptoticsmultivariate linear modelexact finite sample distributionHotelling's T square testfractional matrix calculusHotelling's generalized T sub 0 square teststandard F statisticWald statistic for testing general linear restrictions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Exact distribution theory in statistics (62E15)

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