ON MALLOWS' Cp IN THE MULTIVARIATE LINEAR REGRESSION MODEL UNDER THE UNIFORM MIXED LINEAR CONSTRAINTS

抄録

In this paper, we expand the Mallows' Cp into the multivariate linear regression model along the framework of Berndt and Savin [2]. Also, by using the Cp, we derive the optimal critical value for the Wald test in the multivariate linear regression model under the uniform mixed linear constraints.