Nonparametric tests in linear model with autoregressive errors

In the linear regression model with possibly autoregressive errors, we construct a family of nonparametric tests for significance of regression, under a nuisance autoregression of model errors. The tests avoid an estimation of nuisance parameters, in contrast to the tests proposed in the literature....

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Veröffentlicht in:	Metrika 2023-05, Vol.86 (4), p.443-453
Hauptverfasser:	Jurečková, Jana, Arslan, Olcay, Güney, Yeşim, Picek, Jan, Schindler, Martin, Tuaç, Yetkin
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive models Economic Theory/Quantitative Economics/Mathematical Methods Errors Mathematics and Statistics Model testing Nonparametric statistics Nuisance Probability Theory and Stochastic Processes Regression models Statistics
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Zusammenfassung:	In the linear regression model with possibly autoregressive errors, we construct a family of nonparametric tests for significance of regression, under a nuisance autoregression of model errors. The tests avoid an estimation of nuisance parameters, in contrast to the tests proposed in the literature. A simulation study illustrate their good performance.
ISSN:	0026-1335 1435-926X
DOI:	10.1007/s00184-022-00877-y