Wald,likelihood ratio,and Lagrange multiplier tests as an F test |
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Authors: | Walter Vandaele |
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Institution: | M.I.T., Cambridge, MA 02139, USA |
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Abstract: | This expository note contains, in the case of a multiple regression model, a derivation of the Wald, Lagrange, and Likelihood Ratio tests as a function of the small sample F test. This also allows us to readily establish the well-known small sample inequalities among the first three large sample tests. |
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