Exercise 3.9.2 For a standard linear model, find the form of the generalized likelihood ratio test of

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Exercise 3.9.2 For a standard linear model, find the form of the generalized likelihood ratio test of H0 : σ 2 =σ 2 0 versus HA : σ 2 =σ 2 0 in terms of rejecting H0 when some function of SSE/σ 2 0 is small. Show that the test makes sense in that it rejects for both large and small values of SSE/σ 2 0 .

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