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The exact distribution of the Wald statistic. (English) Zbl 0601.62025
The author derives the exact finite sample 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 T 0 2 test. The analytical methods employed in the present paper rely on the author’s fractional matrix calculus [ibid. 53, 745-756 (1985; Zbl 0574.62017)].
Reviewer: A.N.Philippou

MSC:
62E15Exact distribution theory in statistics
62E20Asymptotic distribution theory in statistics
62H15Multivariate hypothesis testing
62J05Linear regression