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The finite population distribution function is defined by  \\[ F_ n(t)= N^{-1} \\sum_{j=1}^ N \\Delta(t- y_ j) \\quad \\text{where} \\quad \\Delta(x)=1 \\text{ if } x\\geq 0 \\text{ and 0 otherwise}. \\]  The authors discuss the problem of optimal prediction of \\(F_ N(t)\\) under general linear regression models with normally distributed errors when the error variance is unknown and derive its best unbiased predictor as well as the asymptotic distribution. Under a simple location model the asymptotic relative efficiency of this predictor, relative to that of the ordinary sample empirical distribution function, is derived. 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