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Simulation based finite and large sample tests in multivariate regressions

  • Dufour, Jean-Marie
  • Khalaf, Lynda

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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File URL: http://www.sciencedirect.com/science/article/B6VC0-46RKR42-1/2/f2b35edb1a11c4812882b89e063373a4
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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