A nonparametric distribution-free test for serial independence of errors

DOI10.1080/07474938.2014.956616MaRDI QIDQ5863570zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

location-scale modelempirical processesserial dependenceparameter estimation uncertaintyunobservable errorsgeneralized spectral test

Mathematics Subject Classification ID

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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Cites work

• A nonparametric test for serial independence of regression errors
• A test for independence based on the correlation dimension
• Backtesting Parametric Value-at-Risk With Estimation Risk
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• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Dynamic Econometrics
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• Generalized spectral tests for the martingale difference hypothesis
• Linear processes in function spaces. Theory and applications
• Nonparametric tests for conditional symmetry in dynamic models
• On a measure of lack of fit in time series models
• Predicting future responses based on possibly mis-specified working models
• Uniform Convergence in Probability and Stochastic Equicontinuity
• Weak convergence and empirical processes. With applications to statistics
• Weak convergence of non-stationary multivariate marked processes with applications to martingale testing
• Weak convergence of the sample distribution function when parameters are estimated

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
• scientific article; zbMATH DE number 1069593 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 1124636 (Why is no real title available?)
• 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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