Testing inference in heteroskedastic fixed effects models
We wrote the test statistics as ratios of Gaussian quadratic forms. We used numerical integration to compute their exact null distributions. We compare the limiting null distribution with the exact null distributions. Most accurate asymptotic approximations are obtained with CHC4 and CHCR0 tests. We recommend that inference in FE models be based such quasi-t test statistics.
heteroskedasticity numerical integration distribution quasi-t tests simulation longitudinal data