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Discussion Paper

The Exact Distribution of the Wald Statistic

This paper derives the exact distribution of the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. This generalizes all previously known results including those for the standard F statistic in linear regression, for Hotelling’s T 2 test and for Hotelling’s generalized T02 test. Conventional classical assumptions of normally distributed errors and nonrandom exogenous variables are employed.