A normal distribution for the disturbance term in regression theory

Abstract

In regression theory, it is stated that the disturbance term follows the normal distribution when the sample size is large. In Professor J.Johnston's words: "In view of the many factors involved, an appeal to the Central Limit Theorem would further suggest a normal distribution for u." This paper includes an elementary proof that the disturbance term follows the normal distribution when n is large.

4 pages