Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors

Chun-Zheng Cao, Jin-Guan Lin () and Li-Xing Zhu

Statistical Papers, 2010, vol. 51, issue 4, 813-836

Keywords: Symmetrical distributions; Nonlinear model; AR(1) errors; Heteroscedasticity; Score test; Asymptotic properties; Approximate local powers (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s00362-008-0171-y

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