Preprint
Sep 2026
Is the regression $F$-test doubly robust?
We study the robustness of the $F$-test in random design linear models, and reach a somewhat nuanced conclusion. On the positive side, one of our main results is that the size of the test is close to its nominal level as soon as either the distribution of the normalised error vector is close to uniform on the unit sphe...
Lucy Xia, Oliver Y. Feng, Yang Feng et al.
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