A Simple Lagrange Multiplier F-Test for Multivariate Regression Models

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dc.creatorBeatty, Timothy K.M.
dc.creatorLaFrance, Jeffrey T.
dc.creatorYang, Muzhe
dc.date2017-04-01T20:02:18Z
dc.date.accessioned2026-07-09T03:49:32Z
dc.descriptionThis paper proposes a straightforward, easy to implement approximate F-test which is useful for testing restrictions in multivariate regression models. We derive the asymptotics for our test statistic and investigate its finite sample properties through a series of Monte Carlo experiments. Both theory suggests and simulations confirm that our approach will result in strictly better inference than the leading alternative
dc.identifierdoi:10.22004/ag.econ.25074
dc.identifierhttps://ageconsearch.umn.edu/record/25074/files/wp050996.pdf
dc.identifierhttp://ageconsearch.umn.edu/record/25074
dc.identifier.urihttp://hdl.handle.net/123456789/540491
dc.languageeng
dc.publisher
dc.sourcehttp://ageconsearch.umn.edu/record/25074
dc.titleA Simple Lagrange Multiplier F-Test for Multivariate Regression Models
dc.typeText

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