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Q116Section C (Part C)116 of 120

General linear hypothesis for a restricted regression model

An analyst fits a multiple linear regression model Yi=β0+β1X1i+⋯+β4X4i+ϵiY_i=\beta_0+\beta_1X_{1i}+\cdots+\beta_4X_{4i}+\epsilon_i, i=1,2,…,ni=1,2,\dots,n, using the method of least squares. However, his coordinator insists that the intercept and two regressors Z1=X1+X3Z_1=X_1+X_3 and Z2=X2−X4Z_2=X_2-X_4 are enough to represent the model. Suppose the coordinator's claim can be tested in the form of a general linear hypothesis, viz., H0:LTβ=0H_0:L^T\beta=0 against HA:H0H_A:H_0 is not true, where βT=(β0,β1,…,β4)\beta^T=(\beta_0,\beta_1,\dots,\beta_4). Suppose we have nn observations on the response YY and each regressor. Further, assume that the errors with or without restrictions are independent N(0,σ2)N(0,\sigma^2) variables. Then, which of the following statements are true?

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Options

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