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Hi: This is an incomplete answer but I needed room. The Wald statistic for testing a linear constraint , $Rb = r$ is , $(Rb - r )^{\prime}[R(X^{\prime}X)^{-1} R^{\prime}]^{-1}(Rb - r)/s^2$ $X^{\prime}X$ can be obtained from P4 and, in your case, $R = 1$ and $b = \alpha$. But I still don't see how the expression for $(X^\prime X)^{-1}$ results in what you ...