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Simulation-Based Finite and Large Sample Tests in Multivariate Regressions

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  • Dufour, J.M.
  • Khalaf, L.

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

Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2000-10.

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Length: 24 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:mtl:montec:2000-10

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Keywords: LINEAR MODEL ; REGRESSION ANALYSIS ; TESTS;

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References

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