Exercise 3 9 3 Consider a set of seemingly unrelated regression equations Yi Xii ei, ei N 0, 2I , i 1, , r, where Xi is an ni p matrix and the eis are independent Find the test for H0 1 r ...

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Exercise 3.9.3 Consider a set of seemingly unrelated regression equations Yi = Xii+ei, ei N 0,

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Exercise 3.9.3 Consider a set of seemingly unrelated regression equations Yi = Xiβi+ei, ei ∼ N 0,σ 2I

, i = 1, . . . , r, where Xi is an ni × p matrix and the eis are independent. Find the test for H0 : β1 = · · · =βr.

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Exercise 3.9.3 Consider a set of seemingly unrelated regression equations Yi = Xii+ei, ei N 0,

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