Testing Serial Correlation in Semiparametric Time Series Models

DOI10.1111/1467-9892.00309zbMath1050.62095OpenAlexW2128788771MaRDI QIDQ4828157

Dingding Li, Thanasis Stengos

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00309

zbMATH Keywords

asymptotic normalityserial correlationpartial linear modelhypotheses testingregular process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

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Cites Work

• Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
• Consistent model specification tests for time series econometric models
• Testing serial correlation in semiparametric panel data models

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