Testing for Autocorrelated Disturbances in Nonlinear Regression Analysis

DOI10.2307/2938178MaRDI QIDQ3974414zbMATH OpenOpenAlexFDO

Authors Masahito Kobayashi

Publication date 25 June 1992

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2938178

zbMATH Keywords

critical valuedisturbances of nonlinear regression modelsextension of iterated Cochrane-Orcutt estimatorfirst-order autoregressive processquasi-maximum likelihood estimator of autocorrelation coefficientssecond-order asymptotic distributiontest for serial independence

Mathematics Subject Classification ID

General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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