J Test, Regression, Model Selection, Statistics, Deep Dives.
variables is y_cap. Thus, we are regressing y on X plus y_cap as follows: y = Xβ + y_capλ + ϵ If in this augmented model, the coefficient λ of y_cap is found to be zero, then model B has not been able to explain any of the variance in y beyond what model A was able to explain. Therefore, model A