- A NONPARAMETRIC TEST FOR SERIAL INDEPENDENCE OF REGRESSION ERRORS.

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

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Year of publication:	1999-12
Authors:	Mora, Juan ; Delgado, Miguel A.
Institutions:	Instituto Valenciano de Investigaciones Económicas (IVIE)
Subject:	Empirical process based on residuals \| Hoeffding-Blum-Kiefer-Rosenblatt statistic \| Serial independence test

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Extent:	application/pdf
Series:	Working Papers. Serie AD.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published by Ivie 15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005731260