A nonparametric distribution-free test for serial independence of errors
DOI10.1080/07474938.2014.956616zbMATH Open1491.62096OpenAlexW2046550605MaRDI QIDQ5863570FDOQ5863570
Authors: Zaichao Du, J. Carlos Escanciano 
Publication date: 3 June 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2014.956616
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location-scale modelempirical processesserial dependenceparameter estimation uncertaintyunobservable errorsgeneralized spectral test
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)
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- Backtesting Parametric Value-at-Risk With Estimation Risk
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- A nonparametric test for serial independence of regression errors
- Predicting future responses based on possibly mis-specified working models
Cited In (13)
- A nonparametric test of serial independence based on the empirical distribution function
- Hoeffding-Blum-Kiefer-Rosenblatt independence test statistic on partly not identically distributed data
- Nonparametric testing for serial independence using the NRL statistic
- Serial independence tests for innovations of conditional mean and variance models
- Title not available (Why is that?)
- Testing for serial independence of panel errors
- The Special Issue in Honor of Aman Ullah: An Overview
- On Tests Applied to Residuals
- Extremal Dependence-Based Specification Testing of Time Series
- Title not available (Why is that?)
- Specification testing in nonparametric AR‐ARCH models
- Nonparametric bootstrap tests for independence of generalized errors
- Testing serial non-independence by self-centring and self-normalizing
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