Hypothesis Testing in Linear Models when the Error Covariance Matrix is Nonscalar

DOI10.2307/1911186zbMath0554.62098OpenAlexW2167795932MaRDI QIDQ3217503

Thomas J. Rothenberg

Publication date: 1984

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1911186

zbMATH Keywords

Lagrange multiplierlikelihood ratioWald statisticsCritical valuespower comparisonsnormal linear model with unknown error covariance matrixsecond-order approximate local power functionsStochastic expansionstesting regression coefficients

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

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