Question: In a general linear model setting with p predictors, we wish to test the following hypotheses: a. Show that has a normal distribution and find

In a general linear model setting with p predictors, we wish to test the following hypotheses:

a. Show that has a normal distribution and find its mean and variance. (You may wish to use Theorems 11.3.1 and 11.5.2.)
b. Let c' = (c0, . . . , cpˆ’1). If H0 is true, show that

has the t distribution with n ˆ’ p degrees of freedom.
c. Explain how to test the hypotheses in (11.5.27) at level of significance Î±0.

p-1 (11.5.27) p-1 P-1

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