Journal of the American Statistical Association volume 81, issue 394, P510-513 1986 DOI: 10.1080/01621459.1986.10478297 View full text
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Masahito Kobayashi

Abstract: MASAH IT0 KOBAYASHI *This article considers the Wald test statistic for testing equality between sets of coefficients in two linear regressions when the disturbance variances are unequal. It is shown that the distribution of the test statistic under the null hypothesis is bounded, asymptotically up to the second order, by the distributions of two F variates multiplied by the number of the regressors.