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The Exact Distribution of the Wald Statistic: The Non-Central Case

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Author Info
Sam Ouliaris
Peter C.B. Phillips () (Cowles Foundation, Yale University)

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Abstract

This paper extends earlier results, which were reported in [7], to include non null distributions. As in [7], attention is concentrated on the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. The results of the present paper encompass the null distributions derived in [7] and generalize all previously known results for such statistics as the standard regression F test and Hotelling's T^{2} test.

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File URL: http://cowles.econ.yale.edu/P/cd/d07a/d0731.pdf
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Publisher Info
Paper provided by Cowles Foundation, Yale University in its series Cowles Foundation Discussion Papers with number 731.

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Length: 13 pages
Date of creation: Nov 1984
Date of revision:
Handle: RePEc:cwl:cwldpp:731

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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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Related research
Keywords: Wald statistic; noncentral quadratic forms; distribution theory; matrix fractional calculus;

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