Publication: A nonparametric test for serial independence of errors in linear regression
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1998-07
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Abstract
A test for serial independence of regression errors, consistent in the direction of first order alternatives, is proposed. 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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Empirical process based on residuals, Hoeffding-Blum-Kiefer-Rosenblatt statistic, Serial independence tests