A nonparametric test for serial independence of regression errors

Authors
Delgado, MA Mora, J
Citation
Ma. Delgado et J. Mora, A nonparametric test for serial independence of regression errors, BIOMETRIKA, 87(1), 2000, pp. 228-234
Citations number
12
Categorie Soggetti
Biology,Multidisciplinary,Mathematics
Journal title
BIOMETRIKA
ISSN journal
00063444 → ACNP
Volume
87
Issue
1
Year of publication
2000
Pages
228 - 234
Database
ISI
SICI code
0006-3444(200003)87:1<228:ANTFSI>2.0.ZU;2-K
Abstract
A test for serial independence of regression errors is proposed that is con sistent in the direction of serial dependence alternatives of first order. The test statistic is a function of a Hoeffding-Blum-Kiefer-Rosenblatt type of empirical process, based on residuals. The resultant statistic converge s, surprisingly, to the same limiting distribution as the corresponding sta tistic based on true errors.