J Test, Regression, Model Selection, Statistics, Deep Dives.
the test by constructing model C as follows: y = Xβ_capλ + Zγ + ϵ i.e. we regress y on X, get the predictions y_cap=Xβ_cap from this model and add these predictions as a variable into the regression of y on Z. If the fitted coefficient of y_cap is zero, we conclude that A is unable to explain any