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A Note on Testing the Nested Structure in Multivariate Regression Models
Author(s) -
Ahn Sung K.,
Lee Eui Yong
Publication year - 2000
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/1468-0084.00181
Subject(s) - multivariate statistics , mathematics , wald test , estimator , statistics , cointegration , asymptotic distribution , regression analysis , econometrics , simple (philosophy) , statistical hypothesis testing , philosophy , epistemology
In this article we propose a simple method of identifying, at an earlier stage of analysis, the nested structure among the coefficient matrices in multivariate regression models. When the limiting distribution of the estimators of the coefficient matrices are jointly normal, the Wald type statistics based on the proposed method is asymptotically a chi‐squared random variable. A numerical example that arises in cointegration analysis is provided to illustrate the method and a small simulation study is provided to illustrate its effectiveness.