Department of Agricultural and Resource Economics
A Simple Lagrange Multiplier F-Test for Multivariate Regression Models
- Author(s): Beatty, Timothy K.M.
- LaFrance, Jeffrey T.
- Yang, Muzhe
- et al.
This 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