回帰モデルにおける線形制約のFテスト (アウトプット)

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Unconstrained Model
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        est. coeff.    std. err.      t-value      p-value
beta1       -3.5265       1.7744      -1.9875     0.048821
beta2       0.72039     0.017466       41.244  3.2995e-080
beta3       0.43634      0.29105       1.4992      0.13607
beta4      -0.21989      0.33943     -0.64782      0.51816
beta5       0.42652      0.10037       4.2495  3.8888e-005

          R^2     R^2-adj.
      0.92596      0.92384
estimated variance of error:
      0.15394
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Constrained Model (B3+B4+B5=1)
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        est. coeff.    std. err.      t-value      p-value
beta1       -4.6908      0.88487      -5.3011  4.3420e-007
beta2       0.72069     0.017436       41.334  1.0869e-080
beta3       0.59291      0.20457       2.8983    0.0043523
beta4    -0.0073811      0.19074    -0.038698      0.96919

          R^2     R^2-adj.
      0.93158      0.93013
estimated variance of error:
      0.15348
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TEST H0:B3+B4+B5=1 vs H1:B3+B4+B5 =! 1
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                         Statistic      p-value
LM test                    0.59172      0.44175
Likelihood ratio test      0.59293      0.44129
Wald test                  0.59415      0.44082
F test                     0.57366      0.45008