Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk
提出三种检验统计量，用于判断回归方程的误差项是否为随机游走，并基于模拟和经济数据比较其效力，建议在回归程序中加入Imhof程序以精确计算Berenblut-Webb统计量的临界值。
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 three test statistics that are uniformly most powerful against the alternative hypothesis that the errors are being generated by the stationary first order Markoff process. Unfortunately, the tabulated lower and upper bounds are too wide apart and so we compare the powers of the three tests using simulated as well as economic data. It is then recommended that the Imhof routine should be attached to standard regression programs to calculate the exact limit of the Berenblut-Webb statistic.