Past exam of the mathematics course of the University of Cambridge / 2018 / ii / Paper 2 / 5J (Statistical Modelling)

Let $RS{S}_0$ and $RS{S}_1$ be the residual sums of squares under the restricted model with $p_0$ coefficients and the full model with $p$ coefficients. Assuming $X$ has full column rank, the nested-model F-test usesUnder the null hypothesis this has the $F_{p-p_0,n-p}$ distribution.

Maximizing the Gaussian likelihood over $\beta$ and the unknown variance gives ${\hat{\sigma }}^2=RSS/n$. Thus the likelihood-ratio test statistic isSincewe obtainThe logarithm is strictly increasing, so the two test statistics give exactly the same rejection ordering.