Abstract
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 behavior 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.
This article first appeared in the Journal of the American Statistical Association, 56 (1961), 793-806. Reprinted with the permission of the American Statistical Association.
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© 1992 Springer Science+Business Media Dordrecht
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Theil, H., Nagar, A.L. (1992). Testing the Independence of Regression Disturbances. In: Raj, B., Koerts, J. (eds) Henri Theil’s Contributions to Economics and Econometrics. Advanced Studies in Theoretical and Applied Econometrics, vol 23. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-2546-8_26
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DOI: https://doi.org/10.1007/978-94-011-2546-8_26
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