Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis

DOI10.2307/2938178zbMath0741.62085OpenAlexW2094958079MaRDI QIDQ3974414

Masahito Kobayashi

Publication date: 25 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938178

zbMATH Keywords

critical valuefirst-order autoregressive processsecond-order asymptotic distributiontest for serial independencedisturbances of nonlinear regression modelsextension of iterated Cochrane-Orcutt estimatorquasi-maximum likelihood estimator of autocorrelation coefficients

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02)

Related Items (3)

Testing for volatility jumps in the stochastic volatility process ⋮ Third-order inference for autocorrelation in nonlinear regression models ⋮ Testing for jumps in the stochastic volatility models

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