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

DOI10.2307/1912252zbMath0516.62099OpenAlexW1990981316WikidataQ55888731 ScholiaQ55888731MaRDI QIDQ3664276

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Publication date: 1983

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1912252

zbMATH Keywords

powersGaussian random walkuniformly most powerfulleast squares residualsstandard Durbin-Watson assumptiontesting residuals

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

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