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A multivariate linear regression model with q responses as a linear function of p independent variables is considered with a p × q parameter matrix B. The least-squares or normal-theory maximum ...
J. D. Jobson, A Multivariate Linear Regression Test for the Arbitrage Pricing Theory, The Journal of Finance, Vol. 37, No. 4 (Sep., 1982), pp. 1037-1042 ...
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