Nonparametric tests in linear model with autoregressive errors

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Jureckova J., Arslan O., Güney Y., Picek J., Schindler M., Tuaç Y.

METRIKA, vol.86, no.4, pp.443-453, 2023 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 86 Issue: 4
  • Publication Date: 2023
  • Doi Number: 10.1007/s00184-022-00877-y
  • Journal Name: METRIKA
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, Academic Search Premier, EconLit, zbMATH
  • Page Numbers: pp.443-453
  • Keywords: Autoregression, Autoregression rank scores, Linear regression, Rank test, Regression rank scores, RANK-SCORES
  • Ankara University Affiliated: Yes

Abstract

In the linear regression model with possibly autoregressive errors, we construct a family of nonparametric tests for significance of regression, under a nuisance autoregression of model errors. The tests avoid an estimation of nuisance parameters, in contrast to the tests proposed in the literature. A simulation study illustrate their good performance.