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A Simple Lagrange Multiplier F-Test for Multivariate Regression Models

Author

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  • Beatty, Timothy K.M.
  • LaFrance, Jeffrey T.
  • Yang, Muzhe

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

Suggested Citation

  • Beatty, Timothy K.M. & LaFrance, Jeffrey T. & Yang, Muzhe, 2005. "A Simple Lagrange Multiplier F-Test for Multivariate Regression Models," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt4pf757w4, Department of Agricultural & Resource Economics, UC Berkeley.
    • Handle: RePEc:cdl:agrebk:qt4pf757w4
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