A nonparametric test for serial independence of regression errors.

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

Argitalpen urtea: 1999

Zenbakia: 28

Mota: Laneko dokumentua

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Laburpena

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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