Checking Serial Independence of Residuals from a Nonlinear Model
In this paper the serial independence tests known as SIS (Serial Independence Simultaneous) and SICS (Serial Independence Chi-Square) are considered. These tests are here contextualized in the model validation phase for nonlinear models in which the underlying assumption of serial independence is tested on the estimated residuals. Simulations are used to explore the performance of the tests, in terms of size and power, once a linear/nonlinear model is fitted on the raw data. Results underline that both tests are powerful against various types of alternatives.
KeywordsDependence Structure Nominal Size White Noise Process Serial Independence Portmanteau Test
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