摘要
研究线性回归模型中的自相关检验问题,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自相关,也可以检验高阶自相关,数值模拟表明检验方法具有良好的检验功效.
In the paper, we investigate the testing for autocorrelation in linear model We use empirical likelihood method to construct test statistics, and derive the asympotic distribution of the test statistics under null hypothesis. Our method tests not only first order autocorrelation but higher orderautocorrelation as well. Simulation results show that our test has good power.
出处
《数学的实践与认识》
CSCD
北大核心
2006年第6期206-210,共5页
Mathematics in Practice and Theory
关键词
线性模型
自相关检验
经验似然
Wilk’s定理
empirical likelihood
linear model
Wilk＇s theorem
Testing for autocorrelation
