The Exact Distribution of the Wald Statistic

DOI10.2307/1912841MaRDI QIDQ3736695zbMATH OpenOpenAlexFDO

Authors Peter C. B. Phillips

Publication date 1986

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://cowles.yale.edu/sites/default/files/files/pub/d07/d0722.pdf

zbMATH Keywords

asymptoticsexact finite sample distributionfractional matrix calculusHotelling's generalized T sub 0 square testHotelling's T square testmultivariate linear modelstandard F statisticWald statistic for testing general linear restrictions

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Linear regression; mixed models (62J05)

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(14)

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• COMPUTATIONALLY EFFICIENT RECURSIONS FOR TOP-ORDER INVARIANT POLYNOMIALS WITH APPLICATIONS
• Testing linear inequality constraints in the standard linear model
• scientific article; zbMATH DE number 528887 (Why is no real title available?)
• A wald test for the multivariate analysis of variance:small sample critical values
• The Distribution of a Ratio of Quadratic Forms in Noncentral Normal Variables
• Finite-sample distributions of the Wald, likelihood ratio, and Lagrange multiplier test statistics in the classical linear model
• Invariant Polynomials and Related Tests
• Generating functions and short recursions, with applications to the moments of quadratic forms in noncentral normal vectors
• Extension of the Wald statistic to models with dependent observations.
• Choice of the hypothesis matrix for using the Wald-type-statistic
• Testing the fit of data and external sets via an imprecise Sargan-Hansen test

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