A nonparametric test for serial independence of regression errors.
- Delgado González, Miguel Angel
- Mora López, Juan
Année de publication: 1999
Número: 28
Type: Working Paper
Résumé
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.