Chesher and Jewitt (1987) demonstrated that the Eicker (1963) and White (1980) consistent estimator of the variance-covariance matrix in heteroskedastic models could be severely biased if the design matrix is highly unbalanced. In this paper we, therefore, reconsider Rao's (1970) minimum norm...

In the presence of heteroskedasticity, conventional test statistics based on the ordinary least square estimator lead to incorrect inference results for the linear regression model. Given that heteroskedasticity is common in cross-sectional data, the test statistics based on various forms of...