Random weighting method for M-test in linear model with dependent errors

Zhen Zeng, Lin Cong and Xiangdong Liu

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 4, 1381-1401

Abstract: We study the random weighting method for M-test in a linear model with dependent errors. The asymptotic distribution of this test statistic is derived under some conditions. This article shows that the random weighting method can be used for deciding the critical value for the M-test regardless of whether the null hypothesis is true or not. Finally, the performance of these results is evaluated by a simulation study.

Date: 2024
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DOI: 10.1080/03610926.2022.2101119

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