Testing the Independence of Regression Disturbances
作者:
H. Theil,
A.L. Nagar,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1961)
卷期:
Volume 56,
issue 296
页码: 793-806
ISSN:0162-1459
年代: 1961
DOI:10.1080/01621459.1961.10482126
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This article deals with the distribution of the Von Neumann ratio of least-squares estimated regression disturbances. This distribution is approximated by a beta distribution under the condition that the behaviour of explanatory variables of the regression over time is sufficiently smooth. Two examples are presented, together with a table containing 1 and 5 per cent significance limits for a number of observations ranging from 15 to 100 and a number of coefficients adjusted ranging from 2 to 6.
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