Question: For the classical normal regression model y = X + with no constant term and K regressors, what is plim F[K, n k]

For the classical normal regression model y = Xβ + ε with no constant term and K regressors, what is plim F[K, n – k] = plim R2/K/(1 – R2) / (n – k), assuming that the true value of β is zero?

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The F ratio is computed as bXXbKeenK We substitute e M and b XX X ... View full answer

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