CFDP 731

The Exact Distribution of the Wald Statistic: The Non-Central Case

Author(s): 

Publication Date: November 1984

Pages: 13

Abstract: 

This paper extends earlier results, which were reported in [7], to include non null distributions. As in [7], attention is concentrated on the Wald statistic for testing general linear restrictions on the coefficients in the multivariate linear model. The results of the present paper encompass the null distributions derived in [7] and generalize all previously known results for such statistics as the standard regression test and Hotelling’s T 2 test.

Keywords: 

Wald statistic, Noncentral quadratic forms, Distribution theory, Matrix fractional calculus

JEL Classification Codes:  211