Question
Assuming y is N(X, ^2*I) and the ratio (MS_regression/MS_residual) is distributed as F with (k, n k 1) DF when 1 = . . .
Assuming y is N(X, ^2*I) and the ratio (MS_regression/MS_residual) is distributed as F with (k, n k 1) DF when 1 = . . . = k = 0, show that (R^2(nk1))/((1R^2)k) is distributed as F with (k, nk1) DF when = 0.
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Econometric Analysis
Authors: William H. Greene
5th Edition
130661899, 978-0130661890
