Tests of Equality between Sets of Coefficients in Two Linear Regressions when Disturbance Variances are Unequal

Abstract

is misleading if o-2 $ o-2 and n, and n2 are both small, where Y, and Xi are ni x 1 and ni x k observation matrices, ,li is a k x 1 coefficient matrix, and ei is an n, x 1 error matrix for i=1,2. A valid asymptotic test may easily be obtained by regarding (1) and (2) as seemingly unrelated regression equations. In this paper we establish a small sample test which may readily be extended to a test of some of the coefficients in the two regressions.