has an asymptotic (N → ∞) normal
distribution with mean 0 and finite variance σ ∞
2 . An expression for σ ∞
2 can be found in
equation (3.3) in Bohn and Wolfe (1992). Under the null hypothesis H0: ∆ = 0 we have
E[URSS] = mknq/2 and the asymptotic variance,σ ∞
2 , does not depend on the form of the
underlying continuous F.