【摘 要】
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In this paper, we discuss tests of heteroscedasticity and/or autocorrelation in nonlinear models with AR(1)and symmetrical errors.The symmetrical errors dis
【机 构】
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DepartmentofMathematics,SontheastUniversity
【出 处】
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IMS-China International Conference on Statistics and Probabi
论文部分内容阅读
In this paper, we discuss tests of heteroscedasticity and/or autocorrelation in nonlinear models with AR(1)and symmetrical errors.The symmetrical errors dis tribution class includes all symmetrical continuous distributions, such as normal,Student-t, power exponential, logistic Ⅰ and Ⅱ, contaminated normal, so on.First, score test statistics and their adjustment forms of heteroscedasticity are derived.Then, the asymptotic ropcrties, including asymptotic chi-square and approximate powers under local alternatives of the score tests, are studied.The properties of test statistics are investigated through Monte Carlo simulations.Finally, a real data set is used to illustrate our test methods.
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