A nonparametric test for serial independence of errors in linear regression

Juan Mora
Authors registered in the RePEc Author Service: Miguel A. Delgado ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: A test for serial independence of regression errors, consistent in the direction of first order alternatives, is proposed. 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: Serial; independence; tests; Empirical; process; based; on; residuals; Hoeffding-Blum-Kiefer-Rosenblatt; statistic (search for similar items in EconPapers)
Date: 1998-07
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:4675

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