Publication: A Nonparametric Test for Serial Independence of Regression Errors
Loading...
Identifiers
Publication date
2000
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Oxford University Press
Abstract
A test for serial independence of regression errors is proposed that it consisten in the direction of serial independence alternative of first order. The test of statistic is a funtion of a Hoeffiding-Blum-Kiefer-Rosenblatt type of empirical process, based on residuals. The resultant statistic converges, surpresingly to the same limited distribution as the corresponding statistic base in true errors
Description
Keywords
Empirical process based on residuals, Hoeffiding-Blum-Kiefer-Rosenblat Statistic, Serial independence test
Bibliographic citation
Biometrika. 2000, vol. 87, nº 1, p. 228-234