2 Multivariate Linear Regression Model
2.1 Introduction
2.2 Classical Assumptions of the MLRM
2.3 Estimation Procedures
2.4 Properties of the Estimators
2.5 Interval Estimation
2.6 Goodness of Fit Measures
2.7 Linear Hypothesis Testing
2.8 Restricted and Unrestricted Regression
2.9 Three General Test Procedures
2.9.1 Likelihood Ratio Test (LR)
2.9.2 The Wald Test (W)
2.9.3 Lagrange Multiplier Test (LM)
2.9.4 Relationships and Properties of the Three General Testing Procedures
2.9.5 The Three General Testing Procedures in the MLRM Context
2.9.6 Example
2.10 Dummy Variables
2.11 Forecasting
Bibliography