Even If the Error Terms in a Regression Equation, Us1u1b11s1u1b0,
Even if the error terms in a regression equation, u1, u2, …, un, are not normally distributed, the estimated coefficients can be normally distributed.
A normally distributed random variable is symmetrically distributed about its mean, it can take on any positive or negative value (but with zero probability), and more than 95% of the area under the distribution is within two standard deviations.
The F statistic is also referred to as the score statistic.
The LM statistic requires estimation of the unrestricted model only.