Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
DOI10.1016/J.CSDA.2006.05.020zbMATH Open1161.62366OpenAlexW2166847752MaRDI QIDQ1019963FDOQ1019963
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://eprints.whiterose.ac.uk/2528/1/LGGodfrey_CSDA_final.pdf
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Nonparametric statistical resampling methods (62G09) Hypothesis testing in multivariate analysis (62H15)
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Cited In (6)
- On testing for serial correlation of unknown form using wavelet thresholding
- Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model
- Testing Serial Correlation in Semiparametric Varying-Coefficient Partially Linear Models
- Testing serial correlation for partially nonlinear models
- Testing serial correlation in semiparametric varying coefficient partially linear errors-in-variables model
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