On the Bickel-Rosenblatt test for first-order autoregressive models

Sangyeol Lee and Seongryong Na

Statistics & Probability Letters, 2002, vol. 56, issue 1, 23-35

Abstract: In this paper we consider the goodness of fit test of the errors of autoregressive models using the kernel estimate of the marginal density function based on residuals. The test statistic is based on the integrated squared error of the nonparametric density estimate and a smoothed version of the parametric fit of the density. It is shown that the test statistic behaves asymptotically the same as the one based on true errors unless the autoregressive process is unstable.

Keywords: AR(1); process; Gaussian; test; Goodness; of; fit; test; Nonparametric; density; estimate; Stationary; process; Explosive; process; Unstable; process (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (7)

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