Publication: A Nonparametric Test for Serial Independence of Regression Errors
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2000
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Oxford University Press
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Abstract
A test for serial independence of regression errors is proposed that it consisten in the direction of serial independence alternative of first order. The test of statistic is a funtion of a Hoeffiding-Blum-Kiefer-Rosenblatt type of empirical process, based on residuals. The resultant statistic converges, surpresingly to the same limited distribution as the corresponding statistic base in true errors
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Empirical process based on residuals, Hoeffiding-Blum-Kiefer-Rosenblat Statistic, Serial independence test
Bibliographic citation
Biometrika. 2000, vol. 87, nº 1, p. 228-234