Testing Serial Correlation in Single Index Models

被引：2

作者：

Li, Jianbo ^{[1
]}

Wang, Yuanyuan ^{[1
]}

Huang, Zhensheng ^{[2
]}

Zhang, Riquan ^{[3
,4
]}

Liu, Lin ^{[5
,6
]}

机构：

[1] Jiangsu Normal Univ, Sch Math & Stat, Xuzhou 221116, Jiangsu, Peoples R China

[2] Nanjing Univ Sci & Technol, Sch Sci, Nanjing, Jiangsu, Peoples R China

[3] E China Normal Univ, Sch Finance & Stat, Shanghai 200062, Peoples R China

[4] Shanxi Datong Univ, Dept Math, Datong, Peoples R China

[5] China Univ Min & Technol, Fac Business Adm, Xuzhou, Peoples R China

[6] Jiangsu Normal Univ, Res Ctr Higher Educ, Xuzhou, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2015年 / 44卷 / 04期

基金：

中国国家自然科学基金;

关键词：

B spline; Empirical likelihood; Serial correlation; Single index model; IN-VARIABLES MODELS; EMPIRICAL LIKELIHOOD; LINEAR-MODELS; REGRESSION;

D O I：

10.1080/03610918.2013.800878

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we propose two testing procedures for the serial correlation in single index models by virtue of B spline approximation for unknown single index function. Under some regular conditions, we show that our proposed statistics asymptotically follow normal and chi(2) distribution. Many numerical studies illustrate that the proposed procedures can perform very well for moderate sample size.

引用

页码：1020 / 1035

页数：16

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