When testing r linear restrictions imposed on the model y = β₀ + β₁x₁ + ...+ β_kx_k + ε,the test statistic is assumed to follow the F(df₁,df₂)distribution with ____________________. A) df1 = k and df₂ = n - k - 1 B) df₁ = k - 1 and df₂ = n - k - 1 C) df₁ = r and df₂ = n - k D) df₁ = r and df₂ = n - k - 1

Question

Quizplus · Accepted Answer

The test statistic follows the F distribution with df₁, df₂ where df₁ is the degrees of freedom of the numerator, which is the number of restrictions imposed (r), and df₂ is the degrees of freedom of the denominator (n-k-1), where n is the sample size and k is the number of regressors in the model (including the constant term). The correct option is (D).

When Testing R Linear Restrictions Imposed on the Model Y