Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk

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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