Letting ) (i S be the i-th largest city in a country, it is often observed that i S i log log 1 0 ) ( α α + ≈ for some 0 0 > α and 0 1 < α . It is called rank size rule when 1 1 − = α . This relationship has been examined by means of ordinary least squares estimation and t test in the literature. However, since ) (i S is heteroskedastic and autocorrelated, t statistics do not have standard dist...