Title

The Exact Distribution of the Wald Statistic

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.

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