A nonparametric test for serial independence of regression errors.

  1. Delgado González, Miguel Angel
  2. Mora López, Juan
Zeitschrift:
Working papers = Documentos de trabajo: Serie AD

Datum der Publikation: 1999

Nummer: 28

Art: Arbeitsdokument

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Zusammenfassung

A test for serial independence of regression errors is proposed that is consistent in the direction of serial dependence alternatives of first order. The test statistic is a function of a Hoeffding-Blum-Kiefer-Rosenblatt type of empirical process, based on residuals. The resultant statistic converges, surprisingly, to the same limiting distribution as the corresponding statistic based on true errors.

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