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Testing serial correlation in semiparametric varying coefficient partially linear errors-in-variables model

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Abstract

The authors propose a V N, p test statistic for testing finite-order serial correlation in a semiparametric varying coefficient partially linear errors-in-variables model. The test statistic is shown to have asymptotic normal distribution under the null hypothesis of no serial correlation. Some Monte Carlo experiments are conducted to examine the finite sample performance of the proposed V N, p test statistic. Simulation results confirm that the proposed test performs satisfactorily in estimated size and power.

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Authors and Affiliations

  1. Mathematics and Statistics College, Chongqing Technology and Business University, Chongqing, 400067, China

    Xuemei Hu

  2. School of Mathematics and Physics, Chongqing Institute of Technology, Chongqing, 400050, China

    Feng Liu

  3. School of Mathematics and Computing Technology, Central South University, Changsha, 410075, China

    Zhizhong Wang

Authors
  1. Xuemei Hu
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  2. Feng Liu
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  3. Zhizhong Wang
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Corresponding author

Correspondence to Xuemei Hu.

Additional information

This research is supported by the National Natural Science Foundation of China under Grant Nos. 10871217 and 40574003; the Science and Technology Project of Chongqing Education Committee under Grant No. KJ080609; the Doctor's Start-up Research Fund under Grant No. 08-52204; and the Youth Science Research Fund of Chongqing Technology and Business University under Grant No. 0852008.

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Hu, X., Liu, F. & Wang, Z. Testing serial correlation in semiparametric varying coefficient partially linear errors-in-variables model. J Syst Sci Complex 22, 483–494 (2009). https://doi.org/10.1007/s11424-009-9180-8

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  • DOI: https://doi.org/10.1007/s11424-009-9180-8

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