A nonparametric test for serial independence of regression errors
- 1 March 2000
- journal article
- research article
- Published by Oxford University Press (OUP) in Biometrika
- Vol. 87 (1) , 228-234
- https://doi.org/10.1093/biomet/87.1.228
Abstract
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.Keywords
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