Analysis of fixed effects linear models under heteroscedastic errors

In this article we develop a new test procedure for testing a linear hypothesis in a fixed effects linear model with heteroscedastic errors. This test is based on the ordinary least squares estimator (OLSE) of the regression parameter and uses the variance estimator of OLSE that accounts for heteroscedasticity. The null distribution of this statistics is approximated by a multiple of central F distribution. Simulation studies suggest that the new critical region performs well both in terms of size and power.