  We consider a linear regression model with regression parameter beta
=(beta_1, ..., beta_p) and independent and identically N(0, sigma^2)distributed
errors. Suppose that the parameter of interest is theta = a^T beta where a is a
specified vector. Define the parameter tau = c^T beta - t where the vector c
and the number t are specified and a and c are linearly independent. Also
suppose that we have uncertain prior information that tau = 0. Kabaila and Giri
(2009c) present a new frequentist 1-alpha confidence interval for theta that
utilizes this prior information. This interval has expected length that (a) is
relatively small when the prior information about tau is correct and (b) has a
maximum value that is not too large. It coincides with the standard 1-alpha
confidence interval (obtained by fitting the full model to the data) when the
data strongly contradicts the prior information. At first sight, the
computation of this new confidence interval seems to be infeasible. However, by
the use of the various computational devices that are presented in detail in
the present paper, this computation becomes feasible and practicable.
