Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis
From MaRDI portal
Publication:3974414
DOI10.2307/2938178zbMath0741.62085MaRDI QIDQ3974414
Publication date: 25 June 1992
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2938178
critical value; first-order autoregressive process; second-order asymptotic distribution; test for serial independence; disturbances of nonlinear regression models; extension of iterated Cochrane-Orcutt estimator; quasi-maximum likelihood estimator of autocorrelation coefficients
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J02: General nonlinear regression
Related Items
Testing for volatility jumps in the stochastic volatility process, Testing for jumps in the stochastic volatility models, Third-order inference for autocorrelation in nonlinear regression models