IMPROVED TEST STATISTICS FOR MULTIVARIATE REGRESSION

被引：10

作者：

CRIBARINETO, F

ZARKOS, S

机构：

[1] Department of Economics, Southern Illinois University at Carbondale, Carbondale

来源：

ECONOMICS LETTERS | 1995年 / 49卷 / 02期

关键词：

BARTLETT CORRECTION; EDGEWORTH EXPANSION; LAGRANGE MULTIPLIER TEST; LIKELIHOOD RATIO TEST; MULTIVARIATE REGRESSION; WALD TEST;

D O I：

10.1016/0165-1765(95)00669-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Edgeworth expansions to the null distributions of three classical test statistics in the multivariate regression model were derived by Rothenberg (University of California at Berkeley, Working Paper IP-225, 1977) and Phillips (Journal of the Japan Statistical Society, 1984, 14, 107-124) for the purpose of obtaining size-corrected critical values for such tests. We combine their results with the results of Cordeiro and Ferrari (Biometrika, 1991, 78, 573-582) to obtain corrections to be applied to the test statistics directly. Simulation results are also given.

引用

页码：113 / 120

页数：8