Testing serial correlations in semiparametric time-varying coefficient models

MaRDI QIDQ2915941zbMATH OpenFDO

Authors Feng Liu, Xuemei Hu

Publication date 5 October 2012

Published in Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

zbMATH Keywords

martingale differencessemi-varying coefficient time series models

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(12)

• The effect of serial correlation on tests for parameter change at unknown time
• Testing for serial correlation of unknown form in cointegrated time series models
• Model specification test with correlated but not cointegrated variables
• Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series
• A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
• Testing Serial Correlation in Partially Linear Additive Errors-in-variables Models
• Estimation of semivarying coefficient time series models with ARMA errors
• Testing Serial Correlation in Semiparametric Varying-Coefficient Partially Linear Models
• Testing Serial Correlation in Semiparametric Time Series Models
• Measuring correlations of integrated but not cointegrated variables: a semiparametric approach
• Testing serial correlation in fixed effects regression models based on asymptotically unbiased autocorrelation estimators
• Testing serial correlation in semiparametric varying-coefficient partially linear EV models

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