Testing Serial Correlation in Semiparametric Time Series Model.

In this paper we propose two test statistics for testing serial correlation in semiparametric time series model that could allow lagged dependent variables as explanatory variables .

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Year of publication:	1999
Authors:	Li, D. ; Stengos, T.
Institutions:	Department of Economics and Finance, College of Business and Economics
Subject:	TESTS \| ECONOMIC MODELS \| TIME SERIES

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	20 pages
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005545299