部分线性模型序列相关的经验似然比检验

Empirical Likelihood Ratio Test for Serial Correlation in Partial Linear Model

本文研究了部分线性回归模型中误差的序列相关性的检验问题,用经验似然的方法构造检验统计量,得到了零假设下检验统计量的渐近分布,我们的检验方法不但可以检验一阶序列相关,也可以检验高阶序列相关,数值模拟表明检验方法有好的检验功效．

In the paper, we investigate the test for serial correlation in partial linear model. We use empirical likelihood method to construct test statistics, and derive the asymptotic distribution of the test statistics under null hypothesis. Our method tests not only first order autocorrelation but higher order autocorrelation as well. Simulation results show that our test has good power.