Comment by knoepfle

It's actually not even required for that! See http://davegiles.blogspot.com/2011/08/being-normal-is-option... which cites King (1980):

> If the error vector in our regression model follows any distribution in the family of Elliptically Symmetric distributions, then any test statistic that is scale-invariant has the same null and alternative distributions as they have when the errors are normally distributed.