For two independent samples of independent random variables with probability distribution in the domain of attraction of a stable law with characteristic exponent [alpha] (1 [alpha] 2), the asymptotic null distribution of the F-statistic is considered. The density and exact quantiles of the...

The authors consider the relative bias of the OLS-based estimate s(squared) of the disturbance variance in the linear regression model when disturbances are stationary AR(1). They improve upon previous bounds for the bias and show that E(s[squared]/["sigma" squared]) tends to zero as...

The authors show that the CUSUM test of the stability over time of the coefficients of a linear regression model, which is usually based on recursive residuals, can also be applied to ordinary least squares residuals. The authors derive the limiting null distribution of the resulting test and...