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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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