Simple Robust Testing of Regression Hypotheses: A Comment
指出Kiefer等人提出的t*检验的极限分布与Abadir和Paruolo分析的某个统计量的渐近分布等价，并给出解析证明，对研究稳健检验的学者有参考价值。
The paper by Kiefer, Vogelsang and Bunzel (2000), KVB henceforth, provides an interesting unconventional application of functional limit theory to a conventional problem. In this note, we point out that the limiting distribution of the t^{∗} test proposed by KVB turns out to be equivalent to the asymptotic distribution of one of the statistics analysed by Abadir and Paruolo (1997), AP henceforth. The mixed-Normal random variables studied in AP and KVB are different, but they have identical distributions. The purpose of this note is to prove this equivalence analytically.