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

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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.

Suggested Citation

  • Sam Ouliaris & Peter C.B. Phillips, 1984. "The Exact Distribution of the Wald Statistic: The Non-Central Case," Cowles Foundation Discussion Papers 731, Cowles Foundation for Research in Economics, Yale University.
  • Handle: RePEc:cwl:cwldpp:731
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