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Exact distribution of the F-statistic under heteroskedasticity of unknown form for improved inference

Chu, JH; Lee, TH; Ullah, A; Xu, HF

Xu, HF (corresponding author), Xiamen Univ, Sch Econ, Dept Stat, Xiamen, Fujian, Peoples R China.

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, ; ():

Abstract

In this paper, we derive the exact finite sample distribution of the F (=t(2)) statistic for a single linear restriction on the regression parameters.......

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