References
- Econometrica v.38 Tests of Equality between Sets of Coefficients in Two Linear Regressions:An Expository Note Fisher,F.M.
- Principles of Econometrics Theil,H.
Consider a linear model with n observations and k explanatory variables: (1)b $y=X\beta+u, u\simN(0,\sigma^2I_n)$. We assume that the model satisfies the ideal conditions. Consider the general linear constraints on regression coefficient vector: (2) $R\beta=r$, where R and r are known matrices of orders $q\timesk$ and q\times1$ respectively, and the rank of R is $q