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Nonparametric tests in linear model with autoregressive errors

Abstract

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.

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Correspondence to Jana Jurečková.

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The research of J. Jurečková, J. Picek and M. Schindler was supported by the Grant GAčR 22-036036S.

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Jurečková, J., Arslan, O., Güney, Y. et al. Nonparametric tests in linear model with autoregressive errors. Metrika (2022). https://doi.org/10.1007/s00184-022-00877-y

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  • DOI: https://doi.org/10.1007/s00184-022-00877-y

Keywords

  • Autoregression
  • Autoregression rank scores
  • Linear regression
  • Rank test
  • Regression rank scores