as long as the first two moment conditions on the error term hold, most of the properties of OLS technique. However, t and F test are no longer valid, or at least no exact distribution. but you can utilize CLT to have asymptotic results.

read the text!

as long as the first two moment conditions on the error term hold, most of the properties of OLS technique. However, t and F test are no longer valid, or at least no exact distribution. but you can utilize CLT to have asymptotic results.

read the text!

Thanks! But waht I'm asking is, if there is any practical consequense.

What I know is, when we appeal to large (asymptotic) sampal properties, we should use Z-test instead of t and Chi-square instead of F.

However, it seems to me that, practically few people use Z and Chi; and for most of the time, the test results of t and F are pretty close to Z and Chi. If this is the case, does that mean, the normality of error term is only a theoretial issue and we can actually ignore it in practice?