A Nonparametric Distribution-Free Test for Serial Independence of Errors

DOI10.1080/07474938.2014.956616zbMath1491.62096OpenAlexW2046550605MaRDI QIDQ5863570

Juan Carlos Escanciano, Zaichao Du

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.956616

zbMATH Keywords

empirical processesserial dependencelocation-scale modelparameter estimation uncertaintyunobservable errorsgeneralized spectral test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (5)

Hoeffding-Blum-Kiefer-Rosenblatt independence test statistic on partly not identically distributed data ⋮ Extremal Dependence-Based Specification Testing of Time Series ⋮ Serial independence tests for innovations of conditional mean and variance models ⋮ Specification testing in nonparametric AR‐ARCH models ⋮ The Special Issue in Honor of Aman Ullah: An Overview

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