Document Type
Discussion Paper
Publication Date
9-1-1984
CFDP Number
722
CFDP Pages
19
Abstract
This paper derives the exact distribution of the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. This generalizes all previously known results including those for the standard F statistic in linear regression, for Hotelling’s T 2 test and for Hotelling’s generalized T 0 2 test. Conventional classical assumptions of normally distributed errors and nonrandom exogenous variables are employed.
Recommended Citation
Phillips, Peter C.B., "The Exact Distribution of the Wald Statistic" (1984). Cowles Foundation Discussion Papers. 961.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/961