White noise assumptions revisited: regression models and statistical designs for simulation practice

Jack P.C. Kleijnen

No 50, Discussion Paper from Tilburg University, Center for Economic Research

Abstract: Classic linear regression models and their concomitant statistical designs assume a univariate response and white noise. By definition, white noise is normally, independently, and identically distributed with zero mean. This survey tries to answer the following questions: (i) How realistic are these classic assumptions in simulation practice? (ii) How can these assumptions be tested? (iii) If assumptions are violated, can the simulation's I/O data be transformed such that the assumptions hold? (iv) If not, which alternative statistical methods can then be applied?

JEL-codes: C0 C1 C9 C15 C44 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2006
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Persistent link: http://EconPapers.repec.org/RePEc:dgr:kubcen:200650

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