Linear Hypothesis Testing

The TSCSREG Procedure

For a linear hypothesis of the form R ${\beta}$ =r where R is J × L and r is J × 1, the F-statistic with J, M-L degrees of freedom is computed as

$(R{\beta}-r)^{'} [R(X^{'} \hat{V}^{-1}X)^{-1} {R'}]^{-1}R(R{\beta}-r)$