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In regression (1), Y is regressed against X1 and X2. In regression (2), Y is regressed against X1, X2, X3, X4, and X5. Suppose the homoskadastic normal regression assumptions hold. What is the homoskedasticity-only F-statistic for testing H0: β3 = β4 = β5 = 0?
Regressor
(1)
(2)
X1
#
X2
X3
X4
X5
Intercept
R2
0.50
0.54
n
120
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