scientific article; zbMATH DE number 1124636

MaRDI QIDQ4378666zbMATH OpenFDO

Authors Hans Nyquist

Publication date 5 September 1999

zbMATH Keywords

\(L^1\)-norm estimationauto-regressive errorsLagrange multiplier test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• A nonparametric test for serial independence of regression errors
• A nonparametric distribution-free test for serial independence of errors
• Testing Serial Correlation in Partially Linear Additive Errors-in-variables Models
• Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
• Testing random effects in linear mixed-effects models with serially correlated errors
• Testing Serial Correlation in Partial Linear Errors-in-Variables Models Based on Empirical Likelihood
• Testing serial correlation in partially linear single-index errors-in-variables models
• Tests for Serial Defendence in Limited Dependent Variable Models
• A PORTMANTEAU TEST FOR SERIALLY CORRELATED ERRORS IN FIXED EFFECTS MODELS

Cited in

(3)

• Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models
• Constructing Optimal tests on a Lagged dependent variable
• A simplified method of calculating the score test for serial correlation in multivariate models

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