Heteroscedasticity and/or autocorrelation checks in longitudinal nonlinear models with elliptical and AR(1) errors

DOI10.1007/s10255-012-0123-0zbMath1359.62286OpenAlexW2062706193MaRDI QIDQ511063

Chun-Zheng Cao, Jin-Guan Lin

Publication date: 14 February 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-012-0123-0

zbMATH Keywords

nonlinear modellongitudinal dataMonte Carlo simulationsheteroscedasticityscore testelliptical distributionsautocorrelation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) General nonlinear regression (62J02) Asymptotic properties of parametric tests (62F05)

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