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+## Copyright (C) 1995, 1996, 1997  Kurt Hornik
+## 
+## This program is free software; you can redistribute it and/or modify
+## it under the terms of the GNU General Public License as published by
+## the Free Software Foundation; either version 2, or (at your option)
+## any later version.
+## 
+## This program is distributed in the hope that it will be useful, but
+## WITHOUT ANY WARRANTY; without even the implied warranty of
+## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
+## General Public License for more details. 
+## 
+## You should have received a copy of the GNU General Public License
+## along with this file.  If not, write to the Free Software Foundation,
+## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
+
+## usage:  [pval, f, df_num, df_den] = f_test_regression (y, X, R [, r])
+##
+## Performs an F test for the null hypothesis R * b = r in a classical
+## normal regression model y = X * b + e.
+##
+## Under the null, the test statistic f follows an F distribution with
+## df_num and df_den degrees of freedom;  pval is the p-value (1 minus
+## the CDF of this distribution at f) of the test.
+##
+## If not given explicitly, r = 0.
+##
+## If no output argument is given, the p-value is displayed.
+
+## Author:  KH <Kurt.Hornik@ci.tuwien.ac.at>
+## Description:  Test linear hypotheses in linear regression model
+
+function [pval, f, df_num, df_den] = f_test_regression (y, X, R, r)
+  
+  if (nargin < 3 || nargin > 4)
+    usage (["[pval, f, df_num, df_den] ", ...
+	    "= f_test_regression (y, X, R [, r])"]);
+  endif
+
+  [T, k] = size (X);
+  if !( is_vector (y) && (length (y) == T) )
+    error (["f_test_regression:  ", ...
+	    "y must be a vector of length rows (X)."]);
+  endif
+  y = reshape (y, T, 1);
+  
+  [q, c_R ] = size (R);
+  if (c_R != k)
+    error (["f_test_regression:  ", ...
+	    "R must have as many columns as X."]);
+  endif
+  
+  if (nargin == 4)
+    s_r = size (r);
+    if ((min (s_r) != 1) || (max (s_r) != q))
+      error (["f_test_regression:  ", ...
+	      "r must be a vector of length rows (R)."]); 
+    endif
+    r = reshape (r, q, 1);
+  else
+    r = zeros (q, 1);
+  endif
+
+  df_num = q;
+  df_den = T - k;
+  
+  [b, v] = ols (y, X);
+  diff   = R * b - r;
+  f      = diff' * inv (R * inv (X' * X) * R') * diff / ( q * v );
+  pval  = 1 - f_cdf (f, df_num, df_den);
+  
+  if (nargout == 0)
+    printf ("  pval:  %g\n", pval);
+  endif
+
+endfunction