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

A normal distribution for the disturbance term in regression theory