Testing Serial Correlation in Semiparametric Time Series Models

DOI10.1111/1467-9892.00309MaRDI QIDQ4828157zbMATH OpenOpenAlexFDO

Authors Dingding Li, Thanasis Stengos

Publication date 24 November 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00309

zbMATH Keywords

asymptotic normalityserial correlationhypotheses testingpartial linear modelregular process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

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Cites work

• Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
• Consistent model specification tests for time series econometric models
• Testing serial correlation in semiparametric panel data models

Cited in

(23)

• Zero finite-order serial correlation test in a partially linear single-index model
• Zero finite-order serial correlation test in a semi-parametric varying-coefficient partially linear errors-in-variables model
• Testing Serial Correlation in Semiparametric Varying-Coefficient Partially Linear Models
• Testing serial correlation in partially linear single-index errors-in-variables models
• Testing serial correlation in single index models
• On testing for separable correlations of multivariate time series
• The effect of serial correlation on tests for parameter change at unknown time
• Empirical-likelihood-based test for partially linear single-index models with error-prone linear covariates
• Testing serial correlation in partially linear additive models
• Testing serial correlation for partially nonlinear models
• The empirical saddlepoint method applied to testing for serial correlation in panel time series data
• Testing serial correlations in semiparametric time-varying coefficient models
• On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
• Empirical likelihood-based serial correlation testing in partially varying coefficient single-index models
• Testing Serial Correlation in Partially Linear Additive Errors-in-variables Models
• Testing serial correlation in semiparametric varying coefficient partially linear errors-in-variables model
• Testing Serial Correlation in Partial Linear Errors-in-Variables Models Based on Empirical Likelihood
• Testing for serial correlation of unknown form in cointegrated time series models
• Trend Function Hypothesis Testing in the Presence of Serial Correlation
• Testing serial correlation in semiparametric varying-coefficient partially linear EV models
• Testing for error correlation in partially functional linear regression models
• Assessing white noise assumption with semi-parametric additive partial linear models
• Testing serial correlations in high-dimensional time series via extreme value theory

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