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To Test Joint Linear Hypotheses in the Multiple Regression Model FF

Question 18

Short Answer

To test joint linear hypotheses in the multiple regression model, you need to a. compare the sums of squared residuals from the restricted and unrestricted model.
b. use the heteroskedasticity-robust FF -statistic.
c. use several tt -statistics and perform tests using the standard normal distribution.
d. compare the adjusted R2R ^ { 2 } for the model which imposes the restrictions, and the unrestricted model.

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