Pitfalls in testing with linear regression model by OLS

This is a comment on Economic Letters DOI http://dx.doi.org/10.1016/j.econlet.2015.10.015. We show that due to some methodological aspects the main conclusions of the above mentioned paper should be a little bit altered.
Comment: 6 pages, 16 references, prepared for Journal of Applied Quantitative Methods; revised version, correcting misprints in title and abstract, different order in author list