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Simulation based finite and large sample tests in multivariate regressions

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  • Dufour, Jean-Marie
  • Khalaf, Lynda

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 111 (2002)
Issue (Month): 2 (December)
Pages: 303-322

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Handle: RePEc:eee:econom:v:111:y:2002:i:2:p:303-322

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Web page: http://www.elsevier.com/locate/jeconom

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