Bit stumped on this one and none of my resources are helping to clarify this one for me. I've been given an estimated Autoregression Model AR(4) model of the sort: Yt = b0 + b1 x Yt-1 + b2 x Yt-2 + b3 x Yt-3 + b4 x Yt-4 + error term I've been given the estimated values of each coefficient and their standard errors. I've been asked to test this model against the restricted model AR(3) i.e. b4 = 0

It seems intuitive to me to do an F-test with one restriction (b4 = 0). However, I thought one restriction F-tests could also be done via a T-test, but the question implied that I shouldn't use a T-test or any test where I'd require Normal critical values, so am now stumped over my initial intuition. Do I need more restrictions on the F-test, or have I missed something and need a completely different test?

Any help is much appreciated!


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