COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Post Office Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 767

"Fractional Matrix Calculus and the Distribution of Multivariate Tests"

Peter C.B. Phillips

September 1985

Fractional matrix operator methods are introduced as a new tool of distribution theory for use in multivariate analysis and econometrics. Earlier work by the author on this operational calculus is reviewed and to illustrate the use of these methods we give an exact distribution theory for a general class of tests in the multivariate linear model. This distribution theory unifies and generalizes 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 ^-2 test. We also provide a simple and novel derivation of conventional asymptotic theory as a specialization of exact theory. This approach is extended to generate general formulae for higher order asymptotic expansions. Thus, the results of the paper provide a meaningful unification of conventional asymptotics, higher order asymptotic expansions and exact finite sample distribution theory in this context.

JEL Classification: 211

Keywords: Fractional matrix calculus, multivariate tests, exact distribution theory, asymptotic expansions

See CFP 664