It would be nice that there was an option to choose asymptotic aproximations in testing output (t-ratio, test for joint significance, Wald test of linear restriction, etc.) instead of the exact statistics and distributions used to compute p-values under the normality assumption. One might want to use OLS without assuming normality in the same maner that one is not always willing to asume homoscedasticity or lack of serial correlation.
It would be the user choice to prefer believing in normality of errors or in asymptotic approximations in finite samples
Log in to post a comment.