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Checking Serial Independence of Residuals from a Nonlinear Model

  • Luca Bagnato
  • Antonio Punzo
Conference paper
Part of the Studies in Classification, Data Analysis, and Knowledge Organization book series (STUDIES CLASS)

Abstract

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.

Keywords

Dependence Structure Nominal Size White Noise Process Serial Independence Portmanteau Test 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Dipartimento di Metodi Quantitativi per le Scienze Economiche e AziendaliUniversità di Milano-BicoccaMilanoItaly
  2. 2.Dipartimento di Impresa, Culture e SocietàUniversità di CataniaCataniaItaly

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