Department of Mathematics
Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors
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. © 2008 Springer-Verlag.
Approximate local powers, AR(1) errors, Asymptotic properties, Heteroscedasticity, Nonlinear model, Score test, Symmetrical distributions
Source Publication Title
Link to Publisher's Edition
Cao, C., Lin, J., & Zhu, L. (2010). Heteroscedasticity and/or autocorrelation diagnostics in nonlinear models with AR(1) and symmetrical errors. Statistical Papers, 51 (4), 813-836. https://doi.org/10.1007/s00362-008-0171-y