e45 - thecontrary,. a t measure for the system might have...

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thecontrary,thefitofthemodelhasimproveddramatically.Theupshotisthatalthough a fit measure for the system might have some virtue as a descriptive measure, it should be used with care. For testing a hypothesis about β, a statistic analogous to the F ratio in multiple regression analysis is F[J, MT−K]= (R ˆ β −q)[R(X ˆ −1X)−1R]−1(R ˆ β −q)/J ˆ ε ˆ −1 ˆ ε/(MT−K) . (14-12) The computation requires the unknown . If we insert the FGLS estimate ˆ
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