Given a multivariate regression, how can I test if each element in the coefficient matrix is statistically significant? Would doing a t-test be right? $$\mathbf{Y}=\mathbf{X}\mathbf{B}+\mathbf{E},$$ where $\mathbf{Y}, \mathbf{X}$ and $\mathbf{E} \in R^{n\times m}$ $(n>m)$ and $\mathbf{B}\in R^{m \times m}$ . You can treat each column of $\mathbf{Y}$ and $\mathbf{X}$ as a time series. I found this where it goes through multilinear regression (p.43) and also goes through inferences about the coefficient (p.75). But it considers each row of the coefficient in the test. My question is about testing each element of the coefficient to see if it is significant.

Full article content could not be extracted automatically. Read the original below.