Exercise 3.9.3 Consider a set of seemingly unrelated regression equations Yi = Xii + ei , ei
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Exercise 3.9.3 Consider a set of seemingly unrelated regression equations Yi = Xiβi + ei , ei ∼ N
0, σ2 I
, i = 1, . . . , r , where Xi is an ni × p matrix and the ei s are independent. Find the test for H0 : β1 = · · · = βr .
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