Abstract
In this paper, we derive a distribution function of the improved F-ratio obtained by using the Stein-rule estimator in place of the OLS estimator. It is shown that the test given by the improved F-ratio for the null hypothesis that all regression coefficients are zero can be conducted based on an F distribution, and the power of the test given by the improved F-ratio is lower than that of the test given by the usual F-ratio.
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