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A Simple Lagrange Multiplier F-Test for Multivariate Regression Models

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Author Info
Timothy Beatty (University of British Columbia)
Jeffrey LaFrance (University of California, Berkeley)
Muzhe Yang (University of California, Berkeley)

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Abstract

This paper proposes a straightforward, easy to implement approximate F-test which is useful for testing restrictions in multivariate regression models. We derive the asymptotics for our test statistic and investigate its finite sample properties through a series of Monte Carlo experiments. Both theory suggests and simulations confirm that our approach will result in strictly better inference than the leading alternative

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Paper provided by Department of Agricultural & Resource Economics, UC Berkeley in its series Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series with number 996.

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Date of creation: 01 Feb 2005
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Handle: RePEc:cdl:agrebk:996

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Related research
Keywords: econometric models; monte carlo analysis; multivariate analysis; regression models;

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  1. Taylor, Timothy G. & Shonkwiler, J. S. & Theil, Henri, 1986. "Monte Carlo and bootstrap testing of demand homogeneity," Economics Letters, Elsevier, vol. 20(1), pages 55-57. [Downloadable!] (restricted)
  2. Theil, Henri & Shonkwiler, J. S. & Taylor, Timothy G., 1985. "A Monte Carlo test of Slutsky symmetry," Economics Letters, Elsevier, vol. 19(4), pages 331-332. [Downloadable!] (restricted)
  3. Laitinen, Kenneth, 1978. "Why is demand homogeneity so often rejected?," Economics Letters, Elsevier, vol. 1(3), pages 187-191. [Downloadable!] (restricted)
  4. Italianer, Alexander, 1985. "A small-sample correction for the likelihood ratio test," Economics Letters, Elsevier, vol. 19(4), pages 315-317. [Downloadable!] (restricted)
  5. Meisner, James F., 1979. "The sad fate of the asymptotic Slutsky symmetry test for large systems," Economics Letters, Elsevier, vol. 2(3), pages 231-233. [Downloadable!] (restricted)
  6. Dufour, Jean-Marie & Khalaf, Lynda, 2002. "Simulation based finite and large sample tests in multivariate regressions," Journal of Econometrics, Elsevier, vol. 111(2), pages 303-322, December. [Downloadable!] (restricted)
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  7. Hashimoto, Noriko & Ohtani, Kazuhiro, 1990. "An exact test for linear restrictions in seemingly unrelated regressions with the same regressors," Economics Letters, Elsevier, vol. 32(3), pages 243-246, March. [Downloadable!] (restricted)
  8. Bera, A. K. & Byron, R. P. & Jarque, C. M., 1981. "Further evidence on asymptotic tests for homogeneity and symmetry in large demand systems," Economics Letters, Elsevier, vol. 8(2), pages 101-105. [Downloadable!] (restricted)
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