Nonparametric tests in linear model with autoregressive errors

Jana Jurečková (), Olcay Arslan (), Yeşim Güney (), Jan Picek (), Martin Schindler () and Yetkin Tuaç ()
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Jana Jurečková: Academy of Sciences and Charles University
Olcay Arslan: University of Ankara
Yeşim Güney: University of Ankara
Jan Picek: Technical University of Liberec
Martin Schindler: Technical University of Liberec
Yetkin Tuaç: University of Ankara

Metrika: International Journal for Theoretical and Applied Statistics, 2023, vol. 86, issue 4, No 3, 443-453

Abstract: Abstract In the linear regression model with possibly autoregressive errors, we construct a family of nonparametric tests for significance of regression, under a nuisance autoregression of model errors. The tests avoid an estimation of nuisance parameters, in contrast to the tests proposed in the literature. A simulation study illustrate their good performance.

Keywords: Autoregression; Autoregression rank scores; Linear regression; Rank test; Regression rank scores (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00184-022-00877-y

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