Bibliografie

Journal Article

Nonparametric tests for serial independence in linear model against a possible autoregression of error terms

Jurečková Jana, Arslan O., Güney Y., Tuaç Y., Picek J., Schindler M.

: Statistical Papers vol.66, art. 70

: GA22-03636S, GA ČR

: Autoregression rank scores, Regression rank scores, Rank tests, Hypothesis testing, Linear regression

: 0.1007/s00362-025-01689-8

: https://library.utia.cas.cz/separaty/2025/SI/jureckova-0618730.pdf

: https://link.springer.com/article/10.1007/s00362-025-01689-8

(eng): When testing a hypothesis on regression parameters, the tests can be distorted by a possible autoregression. We construct a class of nonparametric tests for the hypothesis of serial independence of error terms against an alternative of their linear autoregression. The main tool are the regression rank scores of the hypothetical model. The performance of the tests is demonstrated by a simulation study and by two real data examples.

: BA

: 10103