Improved test statistics for multivariate regression

DOI10.1016/0165-1765(95)00669-7zbMath0875.62296MaRDI QIDQ672558

Spyros G. Zarkos, Francisco Cribari-Neto

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(95)00669-7

zbMATH Keywords

Wald test; Edgeworth expansion; Likelihood ratio test; Bartlett correction; Lagrange multiplier test; C12; Multivariate regression

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

62H15: Hypothesis testing in multivariate analysis

Related Items

Exact testing in multivariate regression, Bartlett-corrected tests for normal linear models when the error covariance matrix is nonscaiar, Bartlett corrections in Birnbaum–Saunders nonlinear regression models, Improved score tests for exponential family nonlinear models, Confidence ellipsoids for the primary regression coefficients in two seemingly unrelated regression models, Improved score tests for one-parameter exponential family models, Corrected score tests for exponential censored data, Corrected likelihood ratio tests for von mises regression models

Cites Work

• Approximations to noncentral distributions
• A modified score test statistic having chi-squared distribution to order n⁻¹
• Conflict among Criteria for Testing Hypotheses in the Multivariate Linear Regression Model