- A NONPARAMETRIC TEST FOR SERIAL INDEPENDENCE OF REGRESSION ERRORS

Juan Mora () and Miguel Delgado ()
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Juan Mora: Universidad de Alicante

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: A test for serial independence of regression errors is proposed that is consistent in the direction ofserial dependence alternatives of first order. The test statistic is a function of aHoeffding-Blum-Kiefer-Rosenblatt type of empirical process, based on residuals. The resultantstatistic converges, surprisingly, to the same limiting distribution as the corresponding statisticbased on true errors.

Keywords: Empirical process based on residuals; Hoeffding-Blum-Kiefer-Rosenblatt statistic; Serial independence test (search for similar items in EconPapers)
Pages: 15 pages
Date: 1999-12
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Persistent link: https://EconPapers.repec.org/RePEc:ivi:wpasad:1999-28

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