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A Simple Lagrange Multiplier F-Test for Multivariate Regression Models

  • Author(s): Beatty, Timothy K.M.;
  • LaFrance, Jeffrey T.;
  • Yang, Muzhe
  • et al.
Abstract

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

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