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A nonparametric test for serial independence of errors in linear regression

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  • Mora, Juan

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.

Suggested Citation

  • Mora, Juan, 1998. "A nonparametric test for serial independence of errors in linear regression," DES - Working Papers. Statistics and Econometrics. WS 4675, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:4675
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    References listed on IDEAS

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    1. Yongmiao Hong, 1998. "Testing for pairwise serial independence via the empirical distribution function," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(2), pages 429-453.
    2. Miguel A. Delgado, 1996. "Testing Serial Independence Using The Sample Distribution Function," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(3), pages 271-285, May.
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    Keywords

    Serial independence tests;

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