Testing Linear Hypotheses about the Regression Coefficients
Linear hypotheses for are
expressed in matrix form as
where L is a matrix of coefficients for the linear hypotheses, and
c is a vector of constants.
The vector of regression coefficients includes slope parameters
as well as intercept parameters.
The Wald chi-square statistic for testing
H0 is computed as
where is the estimated
covariance matrix. Under H0, has an asymptotic
chi-square distribution with r degrees of freedom,
where r is the rank of L.
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