Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors |
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Authors: | Chun-Zheng Cao Jin-Guan Lin Li-Xing Zhu |
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Institution: | 1. Department of Mathematics, Southeast University, 210096, Nanjing, China 2. College of Math and Physics, University of Information Science and Technology, 210044, Nanjing, China 3. Department of Mathematics, Hong Kong Baptist University, Hong Kong, China
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Abstract: | In this paper, we discuss tests of heteroscedasticity and/or autocorrelation in nonlinear models with AR(1) and symmetrical
errors. The symmetrical errors distribution class includes all symmetrical continuous distributions, such as normal, Student-t, power exponential, logistic I and II, contaminated normal, so on. First, score test statistics and their adjustment forms
of heteroscedasticity are derived. Then, the asymptotic properties, including asymptotic chi-square and approximate powers
under local alternatives of the score tests, are studied. The properties of test statistics are investigated through Monte
Carlo simulations. Finally, a real data set is used to illustrate our test methods. |
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Keywords: | |
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