Model-free tests for series correlation in multivariate linear regression

DOI10.1016/J.JSPI.2019.09.011MaRDI QIDQ2301085zbMATH OpenOpenAlexWikidataFDO

Authors Yanqing Yin

Publication date 28 February 2020

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.05595

zbMATH Keywords

Durbin-Watson testhigh-dimensional linear regressionjoint CLTljung-box statisticquadratic formserial correlation

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Testing for series correlation among error terms is a basic problem in linear regression model diagnostics. The famous Durbin-Watson test and Durbin's h-test rely on certain model assumptions about the response and regressor variables. The present paper proposes simple tests for series correlation that are applicable in both fixed and random design linear regression models. The test statistics are based on the regression residuals and design matrix. The test procedures are robust under different distributions of random errors. The asymptotic distributions of the proposed statistics are derived via a newly established joint central limit theorem for several general quadratic forms and the delta method. Good performance of the proposed tests is demonstrated by simulation results.

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Cited in

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