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Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
Home
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Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
JS
J. D. Sargan
J. D. Sargan
AB
Alok Bhargava
Alok Bhargava
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1 January 1983
journal article
Published by
JSTOR
in
Econometrica
Vol. 51
(1)
,
153
https://doi.org/10.2307/1912252
Abstract
This paper considers the null hypothesis that the errors on a regression equation form a random walk. By using the standard Durbin-Watson assumptions, we derive...
Keywords
DURBIN
NULL
EQUATION
GAUSSIAN
SQUARES REGRESSION
TESTING RESIDUALS
WALK
WATSON ASSUMPTIONS
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Open Access
Cited by 433 articles