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Exact testing in multivariate regression

  • Kenneth Stewart

An F statistic due to Rao (1951,1973) tests uniform mixed linear restrictions in the multivariateregression model. In combination with a generalization of the Bera-Evans-Savin exact functional relationship between the W, LR, and LM statistics, Rao's F serves to unify a number of exact test procedures commonly applied in disparate empirical literatures. Examples in demand analysis and asset pricing are provided. The availability of exact tests of restrictions in certain nonlinear models when the model is linear under the null, originally explored by Milliken-Graybill (1970), is extended to multivariate regression. Generalized RESET, J-, and Hausman-Wu tests are resented. As an extension of Dufour (1989), bounds tests exist for nonlinear and inequality restrictions. Applications include conservative bound tests for symmetry or negativity of the substitution matrix in demand systems.

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Article provided by Taylor & Francis Journals in its journal Econometric Reviews.

Volume (Year): 16 (1997)
Issue (Month): 3 ()
Pages: 321-352

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Handle: RePEc:taf:emetrv:v:16:y:1997:i:3:p:321-352
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