However, two-stage estimates of regression coefficients corresponding to these two estimates have approximate equal mean square error . for testing linear hypothesis about regression coefficients, banerjee and magnus ( 1997 ) studied the sensitivity of f-test sta, tistic ( fgls ( ) ) based on generalized least square estimate caused by variance parameter in general case and proposed sensitivity statistic and its distribution 关于回归系数的线性假设检验问题,banerjee和magnus(1997)在一般情况下从理论上研究了方差参数对基于广义最小二乘估计的f-检验统计量(f_(gls)())的种种影响,提出了敏感性的概念,并给出敏感统计量的形式及其分布。