Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis

DOI10.2307/2938178zbMATH Open0741.62085OpenAlexW2094958079MaRDI QIDQ3974414FDOQ3974414

Authors: Masahito Kobayashi 

Publication date: 25 June 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2938178

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zbMATH Keywords

critical valuefirst-order autoregressive processsecond-order asymptotic distributiontest for serial independencedisturbances of nonlinear regression modelsextension of iterated Cochrane-Orcutt estimatorquasi-maximum likelihood estimator of autocorrelation coefficients

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cited In (12)

• Testing for volatility jumps in the stochastic volatility process
• Testing for jumps in the stochastic volatility models
• Correntropy as a novel measure for nonlinearity tests
• Testing for Autocorrelation in Dynamic Random Effects Models
• Title not available (Why is that?)
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• Stationary Points for Parametric Stochastic Frontier Models
• Third-order inference for autocorrelation in nonlinear regression models
• A New Test for Autocorrelation in the Disturbances of the Dynamic Linear Regression Model
• Specification of autocorrelated disturbances in nonlinear regression model
• The Lagrange multiplier test for autocorrelation in the presence of linear restrictions
• On a new test for autocorrelation in regression models under nonnormality

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