Inferential Statisticshard
0:00.0

In a linear regression Y=Xβ+ϵY = X\beta + \epsilon with unknown error variance σ2\sigma^2, we test H0:Lβ=qH_0: L\beta = q where LL is a k×pk \times p matrix. What is the distribution of the test statistic F=(Lβ^q)T[L(XTX)1LT]1(Lβ^q)kσ^2F = \frac{(L\hat{\beta}-q)^T [L(X^T X)^{-1} L^T]^{-1} (L\hat{\beta}-q)}{k \hat{\sigma}^2}?