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Inferential Statisticshard
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In a linear regression Y=Xβ+ϵY = X\beta + \epsilonY=Xβ+ϵ with unknown error variance σ2\sigma^2σ2, we test H0:Lβ=qH_0: L\beta = qH0​:Lβ=q where LLL is a k×pk \times pk×p matrix. What is the distribution of the test statistic F=(Lβ^−q)T[L(XTX)−1LT]−1(Lβ^−q)kσ^2F = \frac{(L\hat{\beta}-q)^T [L(X^T X)^{-1} L^T]^{-1} (L\hat{\beta}-q)}{k \hat{\sigma}^2}F=kσ^2(Lβ^​−q)T[L(XTX)−1LT]−1(Lβ^​−q)​?