Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis

DOI10.2307/2938178MaRDI QIDQ3974414zbMATH OpenOpenAlexFDO

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

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)

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• Stationary Points for Parametric Stochastic Frontier Models
• Third-order inference for autocorrelation in nonlinear regression models
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• 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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